Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
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Cites work
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- scientific article; zbMATH DE number 5668407 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Likelihood analysis of non-Gaussian measurement time series
- Marginal Likelihood from the Gibbs Output
- Marginal Likelihood From the Metropolis–Hastings Output
- Markov chains for exploring posterior distributions. (With discussion)
- Objective Bayesian analysis for exponential power regression models
- Objective Bayesian analysis for the Student-t regression model
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
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- SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
- Statistical methods in finance
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The multivariate skew-slash distribution
- The simulation smoother for time series models
- Volatility puzzles: a simple framework for gauging return-volatility regressions
Cited in
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- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Stochastic volatility in mean models with heavy-tailed distributions
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Robust Bayesian inference for multivariate longitudinal data by using normal/independent distributions
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