Bayesian Student-t Stochastic Volatility Models

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dc.contributor.author	Choy Sai Tsang Boris	en_US
dc.contributor.author	Chan C	en_US
dc.contributor.editor	Francis, A; Matawie, K; Oshlack, K; Smyth, G	en_US
dc.date.accessioned	2010-05-18T06:52:58Z
dc.date.available	2010-05-18T06:52:58Z
dc.date.issued	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.identifier.uri	http://hdl.handle.net/10453/7507
dc.description.abstract	This paper considers a Student-t stochastic volatility (SV) model using full Bayesian approach. A new two-stage scale mixtures representation 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 Sydney	en_US
dc.relation.isbasedon	http://www.stat.tugraz.at/StatModSoc/proceedings/proc05.html	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
dc.cauo.name	Science	en_US
dc.conference		en_US
dc.conference.location	Sydney, Australia	en_US
dc.for	140302	en_US