Student-t Stochastic Volatility Model With Composite Likelihood EM-Algorithm
Student-t 随机波动率模型与复合似然 EM 算法
A new robust stochastic volatility (SV) model having Student-t marginals is proposed. Our process is defined through a linear normal regression model driven by a latent gamma process that controls temporal dependence. This gamma process is strategically chosen to enable us to find an explicit expression for the pairwise joint density function of the Student-t response process. With this at hand, we propose a composite likelihood (CL) based inference for our model, which can…