Bayesian Student-t Stochastic Volatility Models

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Show simple item record Choy, Sai Tsang Boris en_US Chan, C en_US
dc.contributor.editor Francis, A; Matawie, K; Oshlack, K; Smyth, G en_US 2010-05-18T06:52:58Z 2010-05-18T06:52:58Z 2005 en_US
dc.identifier 2005001951 en_US
dc.identifier.citation Choy Sai Tsang Boris and Chan C 2005, 'Bayesian Student-t Stochastic Volatility Models', University of Western Sydeny, Sydney, Australia, pp. 139-142. en_US
dc.identifier.issn 1 74108 101 7 en_US
dc.identifier.other E1 en_US
dc.description.abstract This paper considers a Student-t stochastic volatility (SV) model using full Bayesian approach. A new two-stage scale mixtures respresentation for the Student-t density is proposed and used to speed up the efficiency of the Markov chain monte Carlo sampling schemes en_US
dc.publisher University of Western Sydeny en_US
dc.title Bayesian Student-t Stochastic Volatility Models en_US
dc.parent Statistical Solutions to Modern Problems. Proceeding sof the 20th International Workshop on Statistical Modelling en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 139 en_US
dc.identifier.endpage 142 en_US SCI.Faculty of Science en_US
dc.conference en_US
dc.conference Verified OK en_US
dc.conference.location Sydney, Australia en_US
dc.for 140302 en_US
dc.personcode 030715 en_US
dc.personcode 0000025746 en_US
dc.percentage 100 en_US Econometric and Statistical Methods en_US
dc.classification.type FOR-08 en_US
dc.custom International Workshop on Statistical Modelling en_US 20050710 en_US
dc.location.activity Sydney, Australia en_US
dc.description.keywords Scale mixtures of normal (SMN) distribution; Scale mixtures of uniforms (SMU) distirbution; Gibbs sampler; outlier detection en_US

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