Bayesian estimation of generalized hyperbolic skewed student GARCH models
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Publication:1927090
DOI10.1016/j.csda.2011.10.021zbMath1254.91577OpenAlexW2028016390MaRDI QIDQ1927090
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/29415/files/WP_DQE_16.pdf
bridge samplingMarkov chain Monte Carloautoregressive conditional heteroskedasticitygeneralized inverse Gaussian distributiongeneralized hyperbolic distributionheavy-tailed skewed distributions
Related Items (4)
Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ Controlling the flexibility of non-Gaussian processes through shrinkage priors ⋮ Estimation methods for expected shortfall ⋮ Generalized autoregressive moving average models with GARCH errors
Uses Software
Cites Work
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