Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures

DOI10.1016/j.csda.2010.07.008zbMath1247.91152OpenAlexW2027632322MaRDI QIDQ452702

S. T. Boris Choy, Joanna J. J. Wang, Jennifer So-Kuen Chan

Publication date: 15 September 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.008

zbMATH Keywords

stochastic volatilityheavy tailsleverageoutlier diagnosticsscale mixture of normal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Uses Software

• WinBUGS
• boa
• BUGS

Cites Work

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