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Robust Bayesian Analysis of Heavy-tailed Stochastic Volatility Models using Scale Mixtures of Normal Distributions
A Bayesian analysis of stochastic volatility (SV) models using the class of symmetric scale mixtures of normal (SMN) distributions is considered. In the face of non-normality, this provides an appealing robust alternative to the routine use of the normal distribution. Specific distributions examined...
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| Main Authors: | , , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2010
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC2923593/ https://ncbi.nlm.nih.gov/pubmed/20730043 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.csda.2009.06.011 |
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