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)
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:4918 |
| Date | January 2015 |
| Creators | Kastner, Gregor |
| Publisher | WU Vienna University of Economics and Business |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Paper, NonPeerReviewed |
| Format | application/pdf |
| Relation | http://cran.r-project.org/web/packages/stochvol/vignettes/heavytails.pdf, http://cran.r-project.org, http://epub.wu.ac.at/4918/ |
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