Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution

DOI10.4310/SII.2017.v10.n4.a1zbMath1390.62212OpenAlexW2617039416WikidataQ47563479 ScholiaQ47563479MaRDI QIDQ1748676

Ming-Hui Chen, Carlos A. Abanto-Valle, William Lima Leão

Publication date: 14 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2017.v10.n4.a1

zbMATH Keywords

Markov chain Monte Carlo non-Gaussian and nonlinear state space models feedback and leverage effect GH skew Student-\(t\) distribution stochastic volatility-in-mean

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Stochastic models in economics (91B70)

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