A Bayesian semiparametric model for volatility with a leverage effect

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2011 English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 60, pages 97-110 (issn: 0167-9473,

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Authors: E.-I. Delatola; Jim E. Griffin;

doi: 10.1016/j.csda.2012.10.023 , 10.2139/ssrn.1963082

A Bayesian semiparametric model for volatility with a leverage effect

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Abstract

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Related Organizations

University of Kent
United Kingdom
University College London
United Kingdom

Keywords

Applications of statistics to actuarial sciences and financial mathematics, Dirichlet process, mixture model, asset return, Stochastic models in economics, stock index, Statistics of extreme values; tail inference, Bayesian inference, centred representation, off-set mixture representation, Random measures

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