On generalised asymmetric stochastic volatility models (Q429633): Difference between revisions
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Property / zbMATH DE Number: 6048223 / rank | |||
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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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Revision as of 23:34, 29 June 2023
scientific article
Language | Label | Description | Also known as |
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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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