articleJournal of EconometricsDec 31, 2003Closed access

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

ÉJÉric JacquierNGNicholas G. PolsonPEPeter E. Rossi

HEC Montréal · Center for Interuniversity Research and Analysis on Organizations · +1 more institution

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Topics & keywords

Topics
Keywords
  • Econometrics
  • Stochastic volatility
  • Volatility (finance)
  • Markov chain Monte Carlo
  • Constant elasticity of variance model
  • Leverage (statistics)
  • Univariate
  • Leverage effect
UN Sustainable Development Goals
  • Industry, innovation and infrastructure
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