A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach
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Cited by:
- Di Zhang & Qiang Niu & Youzhou Zhou, 2022. "Modeling Randomly Walking Volatility with Chained Gamma Distributions," Papers 2207.01151, arXiv.org, revised Oct 2022.
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Keywords
sv model; new sequential and smoothing procedures; generalized student's t-distribution; non-gaussian errors; heavy tails; skewness;All these keywords.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2018-10-01 (Econometrics)
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