Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
DOI10.1016/j.jspi.2010.11.039zbMath1209.62029OpenAlexW2169587079MaRDI QIDQ629128
Victor Hugo Lachos, Carlos A. Abanto-Valle, Helio S. Migon
Publication date: 8 March 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.039
Markov chain Monte Carloscale mixture of normal distributionsstochastic volatility in meanfeedback and leverage effectnon-Gaussian and nonlinear state-space models
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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