Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Year of publication: |
2014
|
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Authors: | Jensen, Mark J. ; Maheu, John M. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 523-538
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Subject: | Bayesian nonparametrics | Dirichlet process mixture | Leverage effect | Stochastic volatility | Theorie | Theory | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics |
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