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Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions.

Carlos A. Abanto-ValleDebiprasad BandyopadhyayVictor H. LachosI. Enriquez
Published in: Comput. Stat. Data Anal. (2010)
Keyphrases
  • heavy tailed
  • bayesian analysis
  • garch model
  • normal distribution
  • mixture distribution
  • probabilistic model
  • generalized gaussian
  • model selection
  • random variables
  • statistical models