Issues in comparing stochastic volatility models using the deviance information criterion

Joshua C. C. Chan; Angelia L. Grant

Year of publication:	2014
Authors:	Chan, Joshua ; Grant, Angelia L.
Publisher:	Canberra : Centre for Applied Macroeconomic Analysis, The Australian National Univ.
Subject:	Bayesian model comparison \| nonlinear state space \| DIC \| jumps \| moving average \| S&P 500 \| Bayes-Statistik \| Bayesian inference \| Nichtlineare Regression \| Nonlinear regression \| Zustandsraummodell \| State space model \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätzung \| Estimation \| Börsenkurs \| Share price \| Kapitalmarktrendite \| Capital market returns \| USA \| United States

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