Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
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DOI: 10.1080/07474938.2019.1630075
Abstract: Abstract We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods,… read more here.
Keywords: stochastic volatility; volatility; volatility models; bayesian analysis ... See more keywords