Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

DOI10.1016/J.JECONOM.2003.09.001MaRDI QIDQ899508zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

MCMCBayes factorGARCHleverage effectstochastic volatilityGibbsfat-tailsMetropolis

Mathematics Subject Classification ID

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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Cited in

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