Periodic stochastic volatility and fat tails

Journal of Financial Econometrics

Volumn 4, Issue 1, 2006, Pages 90-135

  Tsiakas, Ilias ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Bayesian MCMC estimation; Bootstrapping; Calendar effects; Seasonal heteroskedasticity; Stochastic volatility

Indexed keywords

EID: 30744435088     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi023     Document Type: Article

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