Bayesian Student-t Stochastic Volatility Models

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dc.contributor.author Choy, S
dc.contributor.author Chan, C
dc.contributor.editor Francis, A
dc.contributor.editor Matawie, K
dc.contributor.editor Oshlack, K
dc.contributor.editor Smyth, G
dc.date.accessioned 2010-05-18T06:52:58Z
dc.date.issued 2005-01
dc.identifier.citation Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling, 2005, pp. 139 - 142
dc.identifier.isbn 1 74108 101 7
dc.identifier.other E1 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
dc.publisher University of Western Sydeny
dc.title Bayesian Student-t Stochastic Volatility Models
dc.type Conference Proceeding
dc.parent Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling
dc.journal.number en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 139 en_US
dc.identifier.endpage 142 en_US
dc.cauo.name SCI.Faculty of Science en_US
dc.conference en_US
dc.conference Verified OK en_US
dc.conference International Workshop on Statistical Modelling
dc.conference.location Sydney, Australia en_US
dc.for 140302 Econometric and Statistical Methods
dc.personcode 030715
dc.percentage 100 en_US
dc.classification.name Econometric and Statistical Methods en_US
dc.classification.type FOR-08 en_US
dc.custom International Workshop on Statistical Modelling en_US
dc.date.activity 20050710 en_US
dc.date.activity 2005-07-10
dc.location.activity Sydney, Australia en_US
dc.description.keywords Scale mixtures of normal (SMN) distribution; Scale mixtures of uniforms (SMU) distirbution; Gibbs sampler; outlier detection en_US
dc.description.keywords Scale mixtures of normal (SMN) distribution
dc.description.keywords Scale mixtures of uniforms (SMU) distirbution
dc.description.keywords Gibbs sampler
dc.description.keywords outlier detection
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history General (ID: 2)


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