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On Bayesian Modelling of Fat Tails and Skewness

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  • Fernández, C.
  • Steel, M.F.J.

    (Tilburg University, Center For Economic Research)

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Suggested Citation

  • Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:0991c197-c9e8-4904-8119-3ced8ff5a04b
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    References listed on IDEAS

    as
    1. Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
    2. Fernández, C. & Steel, M.F.J., 1995. "Reference priors in non-normal location problems," Discussion Paper 1995-91, Tilburg University, Center for Economic Research.
    3. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Discussion Paper 1996-02, Tilburg University, Center for Economic Research.
    4. R. C. H. Cheng, 1977. "The Generation of Gamma Variables with Non‐Integral Shape Parameter," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(1), pages 71-75, March.
    5. Roberts, G. O. & Smith, A. F. M., 1994. "Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 207-216, February.
    Full references (including those not matched with items on IDEAS)

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