BUGS for a Bayesian analysis of stochastic volatility models
Meyer, Renate and Yu, Jun
BUGS for a Bayesian analysis of stochastic volatility models J5045 2000 - 2000 - 198-215 V. 03 Issue. 2
Econometrics
Stochastic volatility;Gibbs sampler;BUGS;Heavy tailed distributions;Non Gaussian nonlinear time series models;Leverage effect;
BUGS for a Bayesian analysis of stochastic volatility models J5045 2000 - 2000 - 198-215 V. 03 Issue. 2
Econometrics
Stochastic volatility;Gibbs sampler;BUGS;Heavy tailed distributions;Non Gaussian nonlinear time series models;Leverage effect;