Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution |
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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (English)
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30 December 2012
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generalized hyperbolic skew Student's \(t\)-distribution
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Markov chain Monte Carlo
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mixing distribution
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state space model
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stochastic volatility
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stock returns
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