Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Joshua C.C. Chan; Cody Y.L. Hsiao

doi:10.1002/9781118771051.ch6

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Joshua C.C. Chan^*, Cody Y.L. Hsiao

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

36 Citations (Scopus)

Original language	English
Title of host publication	Bayesian Inference in the Social Sciences
Publisher	Wiley-Blackwell
Pages	155-176
Number of pages	22
ISBN (Electronic)	9781118771051
ISBN (Print)	9781118771211
DOIs	https://doi.org/10.1002/9781118771051.ch6
Publication status	Published - 29 Sept 2014

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title = "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence",

keywords = "Auxiliary mixture sampler, Error distribution, Linear Gaussian state space models, Serial dependence, Stochastic volatility models",

author = "Chan, {Joshua C.C.} and Hsiao, {Cody Y.L.}",

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KW - Linear Gaussian state space models

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BT - Bayesian Inference in the Social Sciences

PB - Wiley-Blackwell

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Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

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