BUGS for a Bayesian analysis of stochastic volatility models

• 1 December 2000
• journal article
• Published by Oxford University Press (OUP) in The Econometrics Journal
• Vol. 3  (2) , 198-215
• https://doi.org/10.1111/1368-423x.00046

Abstract

Keywords

• STOCHASTIC VOLATILITY
• GIBBS SAMPLER
• BUGS
• HEAVY‐TAILED DISTRIBUTIONS
• NON‐GAUSSIAN NONLINEAR TIME SERIES MODELS
• LEVERAGE EFFECT

All Related Versions

• Version 1, 2000-01-01, RePEc (Unconfirmed version)