Bayesian analysis of multivariate stochastic volatility with skew return distribution

DOI10.1080/07474938.2014.977093OpenAlexW2083157007MaRDI QIDQ5864448

Jouchi Nakajima

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.5090

zbMATH Keywords

stock returnsvalue at riskmultivariate stochastic volatilityportfolio allocationskew selectiongeneralized hyperbolic skew t-distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Skew selection for factor stochastic volatility models, Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models, Unnamed Item, Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles, Bayesian semiparametric multivariate stochastic volatility with application

Uses Software

• sn
• bvarsv
• QRM

Cites Work

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