Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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Publication:899508
DOI10.1016/J.JECONOM.2003.09.001zbMATH Open1328.91254OpenAlexW2144246192MaRDI QIDQ899508FDOQ899508
Authors: Eric Jacquier, Nicholas G. Polson, Peter E. Rossi 
Publication date: 29 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.09.001
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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