Bayesian Student-t Stochastic Volatility Models

Choy, S; Chan, C

Bayesian Student-t Stochastic Volatility Models

Choy, S Chan, C

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Publisher:: University of Western Sydeny
Publication Type:: Conference Proceeding
Citation:: Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling, 2005, pp. 139 - 142
Issue Date:: 2005-01

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Full metadata record

Field	Value	Language
dc.contributor.author	Choy, S	en_US
dc.contributor.author	Chan, C	en_US
dc.contributor.editor	Francis, A	en_US
dc.contributor.editor	Matawie, K	en_US
dc.contributor.editor	Oshlack, K	en_US
dc.contributor.editor	Smyth, G	en_US
dc.date	2005-07-10	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling, 2005, pp. 139 - 142	en_US
dc.identifier.isbn	1 74108 101 7	en_US
dc.identifier.uri	http://hdl.handle.net/10453/7507
dc.description.abstract	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	en_US
dc.publisher	University of Western Sydeny	en_US
dc.relation.ispartof	Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling	en_US
dc.relation.ispartof	International Workshop on Statistical Modelling	en_US
dc.title	Bayesian Student-t Stochastic Volatility Models	en_US
dc.type	Conference Proceeding
utslib.location	Sydney, Australia	en_US
utslib.location.activity	Sydney, Australia	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
dc.location.activity	Sydney, Australia	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.place-of-publication	Sydney, Australia	en_US
pubs.start-date	2005-07-10	en_US

Abstract:

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

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/7507