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Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence · Study

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PreprintEstimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Joshua C. C. Chan2013

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Preprintgreen2013

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Joshua C. C. Chan · Cody Yu‐Ling Hsiao

28 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2006Stochastic volatility with leverage: Fast and efficient likelihood inference 2013Moving average stochastic volatility models with application to inflation forecast 2013A New Model of Trend Inflation 2008Leverage, heavy-tails and correlated jumps in stochastic volatility models 2010Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2359838

openalex_workW1557362751

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