Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
type: Item
instance of: scholarly article
title: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
zbMATH Open document ID: 1255.62319
author: Jouchi Nakajima
author: Yasuhiro Omori
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6119779
zbMATH Keywords: generalized hyperbolic skew Student's \(t\)-distribution
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: mixing distribution
zbMATH Keywords: state space model
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stock returns
MaRDI profile type: Publication
full work available at URL: j.csda.2010.07.012
OpenAlex ID: W2165343664
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DOI: 10.1016/J.CSDA.2010.07.012
description: scientific article; zbMATH DE number 6119779