Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution |
scientific article; zbMATH DE number 6119779
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution |
scientific article; zbMATH DE number 6119779 |
Statements
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (English)
0 references
30 December 2012
0 references
generalized hyperbolic skew Student's \(t\)-distribution
0 references
Markov chain Monte Carlo
0 references
mixing distribution
0 references
state space model
0 references
stochastic volatility
0 references
stock returns
0 references
0 references
0 references
0 references
0 references
