Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Joshua C.C. Chan, Cody Y.L. Hsiao

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

37 Citations (Scopus)
Original languageEnglish
Title of host publicationBayesian Inference in the Social Sciences
PublisherWiley-Blackwell
Pages155-176
Number of pages22
ISBN (Electronic)9781118771051
ISBN (Print)9781118771211
DOIs
Publication statusPublished - 29 Sept 2014
Externally publishedYes

Keywords

  • Auxiliary mixture sampler
  • Error distribution
  • Linear Gaussian state space models
  • Serial dependence
  • Stochastic volatility models

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