Bayesian Analysis of Volatility Models with Semi-heavy Tails, Skewness and Leverage Effects

Bayesian Analysis of Volatility Models with Semi-heavy Tails, Skewness and Leverage Effects
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Release: 2006
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Bayesian Analysis of Volatility Models with Semi-heavy Tails, Skewness and Leverage Effects
Language: en
Pages:
Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails
Language: en
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Categories:
Type: BOOK - Published: 2001 - Publisher:

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The basic univariate stochastic volatility model specifies that conditional volatility follows a log-normal auto-regressive model with innovations assumed to be
Stochastic Volatility Models with Heavy-tailed Distributions
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Categories: Bayesian statistical decision theory
Type: BOOK - Published: 2001 - Publisher:

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A Stochastic Volatility Model with Fat Tails, Skewness and Leverage Effects
Language: en
Pages: 24
Authors: Daniel R. Smith
Categories:
Type: BOOK - Published: 2007 - Publisher:

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We develop a new stochastic volatility model that captures the three most important features of stock index returns: negative correlation between returns and fu
Robust Bayesian Analysis of Heavy-tailed Stochastic Volatility Models Using Scale Mixtures of Normal Distributions
Language: en
Pages: 42
Authors: C. A. Abanto-Valle
Categories: Bayesian statistical decision theory
Type: BOOK - Published: 2008 - Publisher:

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