BUGS for a Bayesian analysis of stochastic volatility models

BUGS for a Bayesian analysis of stochastic volatility models

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Baye...

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Bibliographic Details
Main Authors: Meyer, Renate, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2000
Subjects:
Stochastic volatility
Gibbs sampler
BUGS
Heavy-tailed distributions
Non-Gaussian nonlinear time series models
Leverage effect
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/502
https://ink.library.smu.edu.sg/context/soe_research/article/1501/viewcontent/SSRN_id267491__1_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/502
https://ink.library.smu.edu.sg/context/soe_research/article/1501/viewcontent/SSRN_id267491__1_.pdf

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