Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

Keyphrases

• Stochastic Volatility Model 100%
• Robust Bayesian Analysis 100%
• Scale Mixtures of Normal Distributions 100%
• S&P 500 66%
• Model Prediction 33%
• Mixing Parameters 33%
• Model Fitting 33%
• Parameter Estimation 33%
• Bayesian Analysis 33%
• Slash 33%
• Markov Chain Monte Carlo Algorithm 33%
• Bayesian Paradigm 33%
• Non-normality 33%
• Bayesian Model Selection 33%
• Variance gamma 33%
• Mixture Representation 33%
• Normal Students 33%
• Out-of-sample Forecasting 33%
• Scale Mixture 33%
• Daily Stock Return 33%

Mathematics

• Bayesian Analysis 100%
• Stochastic Volatility Model 100%
• Gaussian Distribution 100%
• Variance 25%
• Model Selection Criterion 25%
• Model Fit 25%
• Markov Chain Monte Carlo 25%
• Bayesian Paradigm 25%
• Bayesian Model 25%
• Nonnormality 25%
• Monte Carlo Algorithm 25%
• Parameter Estimation 25%