Heavy-Tailed Innovations in the R Package stochvol
We document how sampling from a conditional Student's t distribution is implemented in stochvol. Moreover, a simple example using EUR/CHF exchange rates illustrates how to use the augmented sampler. We conclude with results and implications. (author's abstract)
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| Format: | Others |
| Language: | en |
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WU Vienna University of Economics and Business
2015
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| Online Access: | http://epub.wu.ac.at/4918/1/heavytails.pdf |