Now showing items 6-6 of 6

    • Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach 

      Abanto-Valle, Carlos A.; Garrafa-Aragón, Hernán B. (Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2019-09-16)
      This paper extends the threshold stochastic volatility (THSV) model specification proposed in So et al. (2002) and Chen et al. (2008) by incorporating thick-tails in the mean equation innovation using the scale mixture of ...