Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

DOI10.1016/j.jeconom.2013.08.018zbMath1293.91141OpenAlexW3125710411MaRDI QIDQ2512619

John M. Maheu, Mark J. Jensen

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.frbatlanta.org/documents/pubs/wp/wp1206.pdf

zbMATH Keywords

stochastic volatilityBayesian nonparametricsleverage effectDirichlet process mixture

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Nonparametric estimation (62G05) Bayesian inference (62F15) Stochastic models in economics (91B70)

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Uses Software

• sapa

Cites Work

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