Bayesian Semiparametric Stochastic Volatility Modeling

@inproceedings{Jensen2010BayesianSS,
  title={Bayesian Semiparametric Stochastic Volatility Modeling},
  author={Mark J. Jensen and John M. Maheu},
  year={2010}
}
This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovation, nonparametric Bayesian methods are used to flexibly model the skewness and kurtosis of the distribution while the dynamics of volatility continue to be modeled with a parametric structure. Our semiparametric Bayesian approach provides a full characterization of parametric and… CONTINUE READING

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