Deviance Information Criterion for Comparing Stochastic Volatility Models

  title={Deviance Information Criterion for Comparing Stochastic Volatility Models},
  author={Andreas Mathias Berg},
Bayesian methods have been efŽ cient in estimating parameters of stochastic volatility models for analyzing Ž nancial time series. Recent advances made it possible to Ž t stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed distributions. However, a formal model comparison via Bayes factors remains difŽ cult. The main objective of this article is to demonstrate that model selection is more easily performed using the… CONTINUE READING
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Approximate Bayesian Inference With the Weighted Likelihood Bootstrap

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