The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models

zbMath1272.62018MaRDI QIDQ367542

Ralph S. Silva, Helio dos Santos Migon, Hedibert Freitas Lopes

Publication date: 16 September 2013

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

Gibbs samplinglog-linear modelstochastic volatility modelextended generalized inverse Gaussian distributionoverrelaxation slice sampler

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) General nonlinear regression (62J02) Characterization and structure theory of statistical distributions (62E10)

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