Browsing Volumen 42 Número 83 (2019) by Author "Garrafa-Aragón, Hernán B."
Now showing items 1-1 of 1
-
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 ...