Multiscale stochastic volatility model with heavy tails and leverage effects
Year of publication: |
2021
|
---|---|
Authors: | Men, Zhongxian ; Wirjanto, Tony S. ; Kolkiewicz, Adam W. |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 5, p. 1-28
|
Publisher: |
Basel : MDPI |
Subject: | Bayesian inference | MCMC | slice sampler |
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