Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574)
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scientific article; zbMATH DE number 6609189
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles |
scientific article; zbMATH DE number 6609189 |
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Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (English)
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4 August 2016
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Bayesian expectile regression
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Bayesian quantile regression
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double two-piece family
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foreign exchange return
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Markov chain Monte Carlo
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