Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns (Q1748891)
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scientific article; zbMATH DE number 6868304
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns |
scientific article; zbMATH DE number 6868304 |
Statements
Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns (English)
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14 May 2018
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Bayesian predictive information criterion (BPIC)
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deviance information criterion (DIC)
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log predictive score criterion
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Markov chain Monte Carlo
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non-Gaussian and nonlinear state space models
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expected shortfall
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value-at-risk
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