Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2010.07.012
+Normal rank
@@ Property / OpenAlex ID @@
+W2165343664
@@ Property / OpenAlex ID: W2165343664 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Applications of the Multivariate Skew Normal Distribution
+Normal rank
@@ Property / cites work @@
+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
+Normal rank
@@ Property / cites work @@
+Bayesian inference on GARCH models using the Gibbs sampler
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Marginal Likelihood from the Gibbs Output
@@ Property / cites work: Marginal Likelihood from the Gibbs Output / rank @@
+Normal rank
@@ Property / cites work @@
+Marginal Likelihood From the Metropolis–Hastings Output
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+The simulation smoother for time series models
@@ Property / cites work: The simulation smoother for time series models / rank @@
+Normal rank
@@ Property / cites work @@
+A simple and efficient simulation smoother for state space time series analysis
+Normal rank
@@ Property / cites work @@
+On Bayesian Modeling of Fat Tails and Skewness
@@ Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank @@
+Normal rank
@@ Property / cites work @@
+Q5480569
@@ Property / cites work: Q5480569 / rank @@
+Normal rank
@@ Property / cites work @@
+Contemporary Bayesian Econometrics and Statistics
@@ Property / cites work: Contemporary Bayesian Econometrics and Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
+Normal rank
@@ Property / cites work @@
+A Skew Extension of the <i>T</i>-Distribution, with Applications
+Normal rank
@@ Property / cites work @@
+Leverage, heavy-tails and correlated jumps in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Stochastic volatility with leverage: fast and efficient likelihood inference
+Normal rank
@@ Property / cites work @@
+Block sampler and posterior mode estimation for asymmetric stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Filtering via Simulation: Auxiliary Particle Filters
+Normal rank
@@ Property / cites work @@
+Q4935943
@@ Property / cites work: Q4935943 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparing stochastic volatility models through Monte Carlo simulations
+Normal rank
@@ Property / cites work @@
+Generalized Hyperbolic Diffusion Processes with Applications in Finance
+Normal rank
@@ Property / cites work @@
+Q5708631
@@ Property / cites work: Q5708631 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
+Normal rank
@@ Property / cites work @@
+The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Parameterisation and efficient MCMC estimation of non-Gaussian state space models
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility models using daily returns and realized volatility simultaneously
+Normal rank
@@ Property / cites work @@
+A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard &amp; Pitt (1997)
+Normal rank
@@ Property / cites work @@
+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
+Normal rank