Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach

DOI10.1016/j.jspi.2010.11.039zbMath1209.62029MaRDI QIDQ629128

Victor Hugo Lachos, Helio S. Migon, Carlos A. Abanto-Valle

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

zbMATH Keywords

Markov chain Monte Carlo; scale mixture of normal distributions; stochastic volatility in mean; feedback and leverage effect; non-Gaussian and nonlinear state-space models

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

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Uses Software

• Scythe

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