factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …

This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy …-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations … several stochastic volatility models are formally compared under different priors on the parameters. …

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically …, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH … volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior …

Hilfe der Fuzzy-Set Theorie und einem wissensbasierten System qualitative Risikoinformationen erfasst und einer … Monte Carlo simulation is particularly difficult. The second article presents how the fuzzy-set theory allows these factors …