A threshold stochastic volatility model with explanatory variables
Author:
Affiliation:
1. School of MathematicsJilin University Changchun 130012 China
2. School of Mathematics and StatisticsChangchun University of Technology Changchun 130012 China
Funder
National Natural Science Foundation of China
Natural Science Foundation of Jilin Province
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/stan.12143
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1. Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
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