Pages that link to "Item:Q1927148"
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The following pages link to Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148):
Displaying 36 items.
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (Q70784) (← links)
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- A dynamic linear model with extended skew-normal for the initial distribution of the state parameter (Q1623448) (← links)
- Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution (Q1748676) (← links)
- Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns (Q1748891) (← links)
- Bayesian estimation of generalized hyperbolic skewed student GARCH models (Q1927090) (← links)
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147) (← links)
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331) (← links)
- A new filtering inference procedure for a GED state-space volatility model (Q2156805) (← links)
- Dynamic tail inference with log-Laplace volatility (Q2191426) (← links)
- Semiparametric stochastic volatility modelling using penalized splines (Q2354745) (← links)
- News impact curve for stochastic volatility models (Q2440158) (← links)
- Moving average stochastic volatility models with application to inflation forecast (Q2442456) (← links)
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (Q2687889) (← links)
- On normal-Laplace stochastic volatility model (Q2694031) (← links)
- Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect (Q3442922) (← links)
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (Q4627135) (← links)
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- A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization (Q5036844) (← links)
- Skew selection for factor stochastic volatility models (Q5037043) (← links)
- Box–Cox realized asymmetric stochastic volatility models with generalized Student's<i>t</i>-error distributions (Q5138133) (← links)
- Realized Non-linear Stochastic Volatility Models with Asymmetric Effects and Generalized Student&apos;s <i>t</i>-Distributions (Q5248882) (← links)
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series (Q5861000) (← links)
- Data cloning estimation for asymmetric stochastic volatility models (Q5861027) (← links)
- Bayesian analysis of multivariate stochastic volatility with skew return distribution (Q5864448) (← links)
- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns (Q5881707) (← links)
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution (Q6074097) (← links)
- Vector autoregression models with skewness and heavy tails (Q6106642) (← links)
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s <i>t</i> distribution (Q6107596) (← links)
- A threshold stochastic volatility model with explanatory variables (Q6187969) (← links)
- Controlling the flexibility of non-Gaussian processes through shrinkage priors (Q6203348) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
- Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures (Q6574659) (← links)
- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model (Q6620851) (← links)
