Open AccessThreshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
Author(s) -
Carlos A. Abanto-Valle,
Hernán B. Garrafa-Aragón
Publication year - 2019
Publication title -
economía/economía
Language(s) - English
Resource type - Journals
eISSN - 2304-4306
pISSN - 0254-4415
DOI - 10.18800/economia.201901.002
Subject(s) - econometrics , markov chain monte carlo , stochastic volatility , bayesian probability , value at risk , volatility (finance) , skewness , stock exchange , kurtosis , mixture model , bayesian inference , markov chain , mathematics , statistics , computer science , economics , risk management , finance