Markov chain Monte Carlo methods for stochastic volatility models
This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations and a jump component in the observation equatio...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2002
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| Subjects: |