Bayesian semiparametric stochastic volatility modeling
Year of publication: |
2010
|
---|---|
Authors: | Jensen, Mark J. ; Maheu, John M. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 157.2010, 2, p. 306-316
|
Publisher: |
Elsevier |
Keywords: | Bayesian nonparametrics Dirichlet process mixture prior Markov chain Monte Carlo Mixture models Stochastic volatility |
-
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J., (2014)
-
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J., (2012)
-
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Jensen, Mark J., (2012)
- More ...