On generalised asymmetric stochastic volatility models (Q429633): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F10 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6048223 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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leverage effect | |||
| Property / zbMATH Keywords: leverage effect / rank | |||
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noncentral-\(t\) distribution | |||
| Property / zbMATH Keywords: noncentral-\(t\) distribution / rank | |||
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skew-normal distribution | |||
| Property / zbMATH Keywords: skew-normal distribution / rank | |||
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skew-\(t\) distribution | |||
| Property / zbMATH Keywords: skew-\(t\) distribution / rank | |||
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Metropolis-Hastings | |||
| Property / zbMATH Keywords: Metropolis-Hastings / rank | |||
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MCMC | |||
| Property / zbMATH Keywords: MCMC / rank | |||
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DIC | |||
| Property / zbMATH Keywords: DIC / rank | |||
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model selection | |||
| Property / zbMATH Keywords: model selection / rank | |||
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forecasting evaluation | |||
| Property / zbMATH Keywords: forecasting evaluation / rank | |||
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Revision as of 23:34, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On generalised asymmetric stochastic volatility models |
scientific article |
Statements
On generalised asymmetric stochastic volatility models (English)
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20 June 2012
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stochastic volatility
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leverage effect
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noncentral-\(t\) distribution
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skew-normal distribution
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skew-\(t\) distribution
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Metropolis-Hastings
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MCMC
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DIC
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model selection
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forecasting evaluation
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