Stochastic volatility models with leverage and heavy-tailed...

Computational Statistics & Data Analysis 2011 Vol. 55; Iss. 1

Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures

Joanna J.J. Wang, Jennifer S.K. Chan, S.T. Boris Choy
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Volume:
55
Year:
2011
Language:
english
Pages:
11
DOI:
10.1016/j.csda.2010.07.008
File:
PDF, 439 KB
english, 2011
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