Bayesian estimation of an extended local scale stochastic volatility model
Year of publication: |
2009-08-04
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Authors: | Deschamps, Philippe J. |
Institutions: | Departement für Quantitative Wirtschaftsforschung, Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät |
Subject: | State space models | Markov chain Monte Carlo | simulation smoothing | generalized error distribution | generalized t distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Scheduled for presentation at the ESEM Barcelona meeting, August 2009 Published (in revised form) in Journal of Econometrics, 2011, vol. 162, pp. 369-382 Number 15 54 pages |
Classification: | C11 - Bayesian Analysis ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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