A threshold stochastic volatility model with explanatory variables
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Publication:6187969
DOI10.1111/stan.12143OpenAlexW2807705452MaRDI QIDQ6187969
Publication date: 16 January 2024
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/stan.12143
Markov chain Monte CarloBayesian estimationGibbs samplingMetropolis-Hastings samplingthreshold stochastic volatility model
Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)
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