Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of a skew-Student-\(t\) stochastic volatility model |
scientific article |
Statements
Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (English)
0 references
23 September 2015
0 references
Markov chain Monte Carlo
0 references
non-Gaussian and nonlinear state space models
0 references
skew-Student-\(t\)
0 references
stochastic volatility
0 references
value-at-risk
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
