On asymmetric generalised t stochastic volatility models (Q1761658): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.matcom.2012.04.007 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2059403517 / rank | |||
Normal rank |
Revision as of 20:44, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On asymmetric generalised t stochastic volatility models |
scientific article |
Statements
On asymmetric generalised t stochastic volatility models (English)
0 references
15 November 2012
0 references
generalised t distribution
0 references
Markov chain Monte Carlo
0 references
stochastic volatility
0 references
uniform scale mixture
0 references
volatility asymmetry
0 references