Bayesian semiparametric stochastic volatility modeling
Year of publication: |
2008
|
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Authors: | Jensen, Mark J. ; Maheu, John M. |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | Bayesian nonparametrics | Dirichlet process mixture prior | Markov chain Monte Carlo | mixture models | stochastic volatility |
Series: | Working Paper ; 2008-15 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 57255155X [GVK] hdl:10419/70634 [Handle] |
Classification: | C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; C53 - Forecasting and Other Model Applications |
Source: |
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