On generalised asymmetric stochastic volatility models (Q429633)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On generalised asymmetric stochastic volatility models |
scientific article |
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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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