Browsing Volumen 42 Número 83 (2019) by Subject "Non linear state space models"
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Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
(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 ...