Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution

DOI10.1080/03610918.2021.1944639OpenAlexW3181698521WikidataQ115551209 ScholiaQ115551209MaRDI QIDQ6074097

Feng-Chang Xie, Unnamed Author

Publication date: 18 September 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1944639

zbMATH Keywords

jumpsstochastic volatilityMarkov chain Monte Carloleverage effectgeneralized hyperbolic skew Student's t-distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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