Bayesian estimation of an extended local scale stochastic volatility model

DOI10.1016/j.jeconom.2011.02.022zbMath1441.62666OpenAlexW2163173400MaRDI QIDQ737916

Philippe J. Deschamps

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/22215/files/wp0015.pdf

zbMATH Keywords

Markov chain Monte Carlostate space modelsgeneralized error distributionsimulation smoothinggeneralized \(t\) distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (2)

A new filtering inference procedure for a GED state-space volatility model ⋮ Modeling volatility using state space models with heavy tailed distributions

Uses Software

• tsbridge

Cites Work

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