Bayesian analysis of stochastic volatility models with flexible tails
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Publication:3842859
DOI10.1080/07474939808800408zbMath0908.62107MaRDI QIDQ3842859
Publication date: 20 August 1998
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939808800408
Markov chain Monte Carlo; financial time series; leptokurtic distributions; skewed exponential power distribution
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91B84: Economic time series analysis
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Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility, Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
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