Semiparametric Bayesian inference of long-memory stochastic volatility models

Journal of Time Series Analysis

Volumn 25, Issue 6, 2004, Pages 895-922

  Jensen, Mark J ^a  

^a BRIGHAM YOUNG UNIVERSITY   (United States)

Author keywords

Dirichlet process prior; Long memory; Markov chain Monte Carlo; Metropolis Hastings; Semiparametric; Stochastic volatility; Wavelets

Indexed keywords

EID: 7444260272     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2004.00384.x     Document Type: Article

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