Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns

DOI10.4310/SII.2014.V7.N4.A6zbMath1388.62279MaRDI QIDQ1748891

Ming-Hui Chen, Carlos A. Abanto-Valle, Fei-Xing Wang, Caifeng Wang, Xiao-Jing Wang

Publication date: 14 May 2018

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

zbMATH Keywords

Markov chain Monte Carlovalue-at-riskexpected shortfallnon-Gaussian and nonlinear state space modelsdeviance information criterion (DIC)Bayesian predictive information criterion (BPIC)log predictive score criterion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

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