On asymmetric generalised t stochastic volatility models

DOI10.1016/j.matcom.2012.04.007zbMath1262.91150OpenAlexW2059403517MaRDI QIDQ1761658

Joanna J. J. Wang

Publication date: 15 November 2012

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.04.007

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlovolatility asymmetrygeneralised t distributionuniform scale mixture

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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