Bayesian Analysis of Additive Factor Volatility Models with Heavy-Tailed Distributions with Specific Reference to S&P 500 and SSEC Indices

in: Linear and Non-Linear Financial Econometrics-Theory and Practice, Terzioğlu Mehmet, Djurovic Gordana, Editor, IntechOpen, pp.132-174, 2021

Bayesian Analysis of Additive Factor Volatility Models with Heavy-Tailed Distributions with Specific Reference to S&amp;P 500 and SSEC Indices