Particle Gibbs with ancestor sampling for stochastic volatility models with: Heavy tails, in mean effects, leverage, serial dependence and structural breaks

Nima Nonejad

Particle Gibbs with ancestor sampling for stochastic volatility models with: Heavy tails, in mean effects, leverage, serial dependence and structural breaks

Nima Nonejad

Department of Mathematical Sciences

Research output: Contribution to journal › Journal article › Research › peer-review

Original language	English
Journal	Studies in Nonlinear Dynamics & Econometrics
Volume	19
Issue number	5
Pages (from-to)	561-589
Number of pages	24
ISSN	1081-1826
Publication status	Published - 2015

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@article{e883e68b11b7407c8164f050a5435898,

title = "Particle Gibbs with ancestor sampling for stochastic volatility models with: Heavy tails, in mean effects, leverage, serial dependence and structural breaks",

author = "Nima Nonejad",

year = "2015",

language = "English",

volume = "19",

pages = "561--589",

journal = "Studies in Nonlinear Dynamics & Econometrics",

issn = "1081-1826",

publisher = "De Gruyter",

number = "5",

}

TY - JOUR

T1 - Particle Gibbs with ancestor sampling for stochastic volatility models with: Heavy tails, in mean effects, leverage, serial dependence and structural breaks

AU - Nonejad, Nima

PY - 2015

Y1 - 2015

M3 - Journal article

SN - 1081-1826

VL - 19

SP - 561

EP - 589

JO - Studies in Nonlinear Dynamics & Econometrics

JF - Studies in Nonlinear Dynamics & Econometrics

IS - 5

ER -