2017•SSRN Electronic JournalOpen access

Bayesian Analysis of Moving Average Stochastic Volatility Models: Modelling in Mean Effects and Leverage for Financial Time Series

Stefanos Dimitrakopoulos, Michalis Kolossiatis

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Key concepts: Stochastic volatility, Leverage (statistics), Econometrics, Volatility (finance), Leverage effect, Bayesian probability, Economics, Time series

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Bayesian Analysis of Moving Average Stochastic Volatility Models: Modelling in Mean Effects and Leverage for Financial Time Series — Research Paper | ScholarLens