Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964)

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Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
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    Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (English)
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    23 September 2015
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    Markov chain Monte Carlo
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    non-Gaussian and nonlinear state space models
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    skew-Student-\(t\)
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    stochastic volatility
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    value-at-risk
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