Bayesian estimation of generalized hyperbolic skewed student GARCH models (Q1927090)
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scientific article; zbMATH DE number 6119737
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of generalized hyperbolic skewed student GARCH models |
scientific article; zbMATH DE number 6119737 |
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Bayesian estimation of generalized hyperbolic skewed student GARCH models (English)
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30 December 2012
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autoregressive conditional heteroskedasticity
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Markov chain Monte Carlo
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bridge sampling
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heavy-tailed skewed distributions
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generalized hyperbolic distribution
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generalized inverse Gaussian distribution
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