Bayesian semiparametric stochastic volatility modeling

Journal of Econometrics

Volumn 157, Issue 2, 2010, Pages 306-316

  Jensen, Mark J ^a   Maheu, John M ^b  

^a FEDERAL RESERVE BANK OF ATLANTA   (United States)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Bayesian nonparametrics; Dirichlet process mixture prior; Markov chain Monte Carlo; Mixture models; Stochastic volatility

Indexed keywords

BAYESIAN NONPARAMETRICS; DIRICHLET PROCESS MIXTURE; MARKOV CHAIN MONTE CARLO; MIXTURE MODEL; STOCHASTIC VOLATILITY;

BAYESIAN NETWORKS; MARKOV PROCESSES; MIXTURES; MONTE CARLO METHODS; PROCESS ENGINEERING; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 77953871493     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.01.014     Document Type: Article

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