Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling

(2017) Joshua C. C. Chan   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student’s t-distribution

(2017) William L. Leão et al.   Statistics and Its Interface

Stochastic volatility in mean models with heavy-tailed distributions

(2012) Carlos A. Abanto-Valle et al.   Brazilian Journal of Probability and Statistics

Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models

(2011) Roland Langrock   JOURNAL OF APPLIED STATISTICS

Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: A Bayesian approach

(2010) C.A. Abanto-Valle et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

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

(2009) C.A. Abanto-Valle et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

(2009) Pierre Perron et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS