Bayesian Student-t Stochastic Volatility Models

University of Western Sydeny
Publication Type:
Conference Proceeding
Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling, 2005, pp. 139 - 142
Issue Date:
Full metadata record
This paper considers a Student-t stochastic volatility (SV) model using full Bayesian approach. A new two-stage scale mixtures respresentation for the Student-t density is proposed and used to speed up the efficiency of the Markov chain monte Carlo sampling schemes
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