Deviance Information Criterion for Comparing Stochastic Volatility Models
Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/351 https://ink.library.smu.edu.sg/context/soe_research/article/1350/viewcontent/SSRN_id320023__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |