Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Year of publication: |
2014
|
---|---|
Authors: | Jensen, Mark J. ; Maheu, John M. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 178.2014, P3, p. 523-538
|
Publisher: |
Elsevier |
Subject: | Bayesian nonparametrics | Dirichlet process mixture | Leverage effect | Stochastic volatility |
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