Chenxing; Maheu, John M.; Yang, Qiao - 2022
This paper extends the Bayesian semiparametric stochastic volatility (SV-DPM) model of Jensen and Maheu (2010). Instead of using a Dirichlet process mixture (DPM) to model return innovations, we use an infinite hidden Markov model (IHMM). This allows for time variation in the return density...