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Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.

Tsunehiro IshiharaYasuhiro Omori
Published in: Comput. Stat. Data Anal. (2012)
Keyphrases
  • bayesian estimation
  • heavy tailed
  • similarity measure
  • closed form
  • generalized gaussian
  • probabilistic model