Bayesian analysis of stochastic volatility models with flexible tails

Econometric Reviews

Volumn 17, Issue 2, 1998, Pages 109-143

  Steel, Mark F J ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

Financial time series; Leptokurtic distributions; Markov chain monte carlo; Skewed exponential power distribution

Indexed keywords

EID: 10244247511     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939808800408     Document Type: Article

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