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~institution:"Department of Econometrics and Business Statistics, Monash Business School"
~subject:"Leverage effect"
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Leverage effect
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Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
Zhang, Xibin
;
King, Maxwell L.
-
Department of Econometrics and Business Statistics, …
-
2004
This paper presents a
Markov
chain
Monte
Carlo
(MCMC) algorithm to estimate parameters and latent stochastic processes …
Persistent link: https://www.econbiz.de/10005149031
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