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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

  • Jacquier, Eric
  • Polson, Nicholas G.
  • Rossi, P.E.Peter E.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4BBMV4K-4/2/40e2e02a3fdb38bb3fcc6cda641ed32c
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 122 (2004)
Issue (Month): 1 (September)
Pages: 185-212

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Handle: RePEc:eee:econom:v:122:y:2004:i:1:p:185-212
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
  2. Peter F. Christoffersen & Francis X. Diebold, 1997. "How Relevant is Volatility Forecasting for Financial Risk Management?," Center for Financial Institutions Working Papers 97-45, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. Ronald J. Mahieu & Peter C. Schotman, 1998. "An empirical application of stochastic volatility models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-360.
  4. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  5. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1998. "Implied Volatility Functions: Empirical Tests," Journal of Finance, American Finance Association, vol. 53(6), pages 2059-2106, December.
  6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  7. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  8. Nour Meddahi & √Čric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
  9. McCulloch, Robert E. & Polson, Nicholas G. & Rossi, Peter E., 2000. "A Bayesian analysis of the multinomial probit model with fully identified parameters," Journal of Econometrics, Elsevier, vol. 99(1), pages 173-193, November.
  10. Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January.
  11. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De.
  12. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
  13. John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
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