Browsing by Subject "Leverage effect"

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  • Deviance information criterion for comparing stochastic volatility models 
    Berg, Andreas; Meyer, Renate; Yu, Jun (University of Cape Coast, 2004-01)
    Bayesian methods have been ef cient in estimating parameters of stochastic volatility models for analyzing nancial time series. Recent advances made it possible to t stochastic volatility models of increasing complexity, ...