Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
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Publication:736574
DOI10.1007/s00180-015-0596-4zbMath1342.65041OpenAlexW610281648MaRDI QIDQ736574
Publication date: 4 August 2016
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-015-0596-4
Markov chain Monte CarloBayesian quantile regressionBayesian expectile regressiondouble two-piece familyforeign exchange return
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (7)
Skew selection for factor stochastic volatility models ⋮ Bayesian quantile regression using the skew exponential power distribution ⋮ Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution ⋮ Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution ⋮ Loss-based approach to two-piece location-scale distributions with applications to dependent data ⋮ Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution ⋮ An alternative skew exponential power distribution formulation
Uses Software
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