On generalised asymmetric stochastic volatility models (Q429633)
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: On generalised asymmetric stochastic volatility models |
scientific article; zbMATH DE number 6048223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On generalised asymmetric stochastic volatility models |
scientific article; zbMATH DE number 6048223 |
Statements
On generalised asymmetric stochastic volatility models (English)
0 references
20 June 2012
0 references
stochastic volatility
0 references
leverage effect
0 references
noncentral-\(t\) distribution
0 references
skew-normal distribution
0 references
skew-\(t\) distribution
0 references
Metropolis-Hastings
0 references
MCMC
0 references
DIC
0 references
model selection
0 references
forecasting evaluation
0 references
0 references
0 references
0 references
0 references
0.9705361
0 references
0.9222016
0 references
0.9160572
0 references
0.9147843
0 references
0.9100173
0 references
0.90969557
0 references
