Posterior Analysis of Stochastic Volatility Models with Flexible Tails
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Bibliographic InfoPaper provided by Tilburg - Center for Economic Research in its series Papers with number 9568.
Length: 27 pages
Date of creation: 1995
Date of revision:
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Other versions of this item:
- Steel, M.F.J., 1995. "Posterior analysis of stochastic volatility models with flexible tails," Discussion Paper 1995-68, Tilburg University, Center for Economic Research.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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- Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
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