Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
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Publication:1927148
DOI10.1016/j.csda.2010.07.012zbMath1255.62319OpenAlexW2165343664MaRDI QIDQ1927148
Yasuhiro Omori, Jouchi Nakajima
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.012
stochastic volatilityMarkov chain Monte Carlostock returnsmixing distributionstate space modelgeneralized hyperbolic skew Student's \(t\)-distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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