Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
This paper extends the threshold click here stochastic volatility (THSV) model specification proposed in So et al.(2002) and Chen et al.(2008) by incorporating thick-tails in the mean equation innovation using the scale mixture of normal distributions (SMN).A Bayesian Markov Chain Monte Carlo algorithm is developed to estimate all the parameters an