Deviance Information Criterion for Comparing Stochastic Volatility Models
用于比较随机波动率模型的偏差信息准则
stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed distributions. However, a formal model comparison via Bayes factors remains difficult. The main objective of this article is to demonstrate that model selection is more easily performed using the deviance information criterion (DIC). It…