Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
type: Item
instance of: scholarly article
title: Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
zbMATH Open document ID: 1342.65041
author: Genya Kobayashi
published in: Computational Statistics
publication date: 2016-08-04T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6609189
zbMATH Keywords: Bayesian expectile regression
zbMATH Keywords: Bayesian quantile regression
zbMATH Keywords: double two-piece family
zbMATH Keywords: foreign exchange return
zbMATH Keywords: Markov chain Monte Carlo
describes a project that uses: Ox
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: s00180-015-0596-4
OpenAlex ID: W610281648
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DOI: 10.1007/S00180-015-0596-4
description: scientific article; zbMATH DE number 6609189