Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nima Nonejad
| Year of publication: |
2015
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|---|---|
| Authors: | Nonejad, Nima |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 5, p. 561-584
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| Subject: | ancestor sampling | Bayes | particle filtering | structural breaks | Strukturbruch | Structural break | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2014-0043 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011431022