Heavy-tailed-distributed threshold stochastic volatility models in financial time series

DOI10.1111/j.1467-842x.2007.00498.xMaRDI QIDQ6573726

Mike K. P. So, Feng-Chi Liu, Cathy W. S. Chen

Publication date: 17 July 2024

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlo methodKalman filtervalue-at-riskthresholdstate space modelstochastic volatility models

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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