Kalli, Maria; Walker, Stephen G.; Damien, Paul - In: Journal of Business & Economic Statistics 31 (2013) 4, pp. 371-383
This article introduces a new family of Bayesian semiparametric models for the conditional distribution of daily stock index returns. The proposed models capture key stylized facts of such returns, namely, heavy tails, asymmetry, volatility clustering, and the "leverage effect." A Bayesian...