Skew selection for factor stochastic volatility models

DOI10.1080/02664763.2019.1646227OpenAlexW2962924530WikidataQ127437499 ScholiaQ127437499MaRDI QIDQ5037043

Jouchi Nakajima

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.11005

zbMATH Keywords

stock returnsportfolio allocationfactor stochastic volatilitygeneralized hyperbolic skew \(t\)-distributionskew selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10) Applications of statistics (62Pxx)

Related Items (1)

Unnamed Item

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse Bayesian time-varying covariance estimation in many dimensions
• On leverage in a stochastic volatility model
• Analysis of high dimensional multivariate stochastic volatility models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• Factor stochastic volatility with time varying loadings and Markov switching regimes
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering
• Model uncertainty
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• Semiparametric stochastic volatility modelling using penalized splines
• Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Multivariate Stochastic Volatility
• On Bayesian Modeling of Fat Tails and Skewness
• Autoregressive Conditional Density Estimation
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• A Skew Extension of the T-Distribution, with Applications
• The Spike-and-Slab LASSO
• Multivariate Stochastic Volatility Models with Correlated Errors
• Asymmetric Multivariate Stochastic Volatility
• Bayesian analysis of multivariate stochastic volatility with skew return distribution

This page was built for publication: Skew selection for factor stochastic volatility models