An alternative distributional assumption is proposed for the stochastic volatility model. This results in extremely flexible tail behaviour of the sampling distribution for the observables, as well as in the availability of a simple Markov Chain Monte Carlo strategy for posterior analysis. By...

We wish to congratulate John Geweke on producing such an interesting and complete paper. We are delighted to see that serious attempts to make Bayesian methods more generally understood and available are being undertaken. In addition, a number of quite challenging issues is addressed here....