Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach

DOI10.1016/j.jspi.2010.11.039zbMath1209.62029OpenAlexW2169587079MaRDI QIDQ629128

Victor Hugo Lachos, Carlos A. Abanto-Valle, Helio S. Migon

Publication date: 8 March 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.039

zbMATH Keywords

Markov chain Monte Carloscale mixture of normal distributionsstochastic volatility in meanfeedback and leverage effectnon-Gaussian and nonlinear state-space models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (6)

Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution ⋮ Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution ⋮ Bayesian estimation of a skew-Student-\(t\) stochastic volatility model ⋮ A fast and efficient Markov chain Monte Carlo method for market microstructure model ⋮ Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series ⋮ Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions

Uses Software

• Scythe

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