Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution

DOI10.1080/03610926.2021.1990952OpenAlexW3208487284MaRDI QIDQ6107596

Feng-Chang Xie, Unnamed Author

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1990952

zbMATH Keywords

stochastic volatilityGibbs samplerthresholdleverageMH algorithmGHST distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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