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

DOI10.1016/j.jeconom.2003.09.001zbMath1328.91254OpenAlexW2144246192MaRDI QIDQ899508

Eric Jacquier, Peter E. Rossi, Nicholas G. Polson

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

stochastic volatility Bayes factor GARCH leverage effect MCMC Gibbs Metropolis fat-tails

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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