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Posterior Analysis of Stochastic Volatility Models with Flexible Tails

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Listed author(s):
  • Steel, M.F.J.

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Paper provided by Tilburg - Center for Economic Research in its series Papers with number 9568.

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Length: 27 pages
Date of creation: 1995
Handle: RePEc:fth:tilbur:9568
Contact details of provider: Postal:
TILBURG UNIVERSITY, CENTER FOR ECONOMIC RESEARCH, 5000 LE TILBURG THE NETHERLANDS.

Phone: 31 13 4663050
Fax: 31 13 4663066
Web page: http://center.uvt.nl/
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Keywords: FINANCIAL SECTOR;

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Find related papers by JEL classification:
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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Cited by:

  1. Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2015. "Dynamic effects in inefficiency: Evidence from the Colombian banking sector," European Journal of Operational Research, Elsevier, vol. 240(2), pages 562-571.
  2. Galán, Jorge E. & Pollitt, Michael G., 2014. "Inefficiency persistence and heterogeneity in Colombian electricity utilities," Energy Economics, Elsevier, vol. 46(C), pages 31-44.
  3. Jacek Osiewalski & Mark Steel, 1998. "Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models," Journal of Productivity Analysis, Springer, vol. 10(1), pages 103-117, July.
  4. 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.
  5. Barros, Carlos Pestana & Assaf, A.George & de Araujo, Ari Francisco, 2011. "Cost performance of Brazilian soccer clubs: A Bayesian varying efficiency distribution model," Economic Modelling, Elsevier, vol. 28(6), pages 2730-2735.
  6. Makieła, Kamil, 2016. "Bayesian inference in generalized true random-effects model and Gibbs sampling," MPRA Paper 69389, University Library of Munich, Germany.

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