Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution (Q1748676)
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scientific article; zbMATH DE number 6868079
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| English | Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution |
scientific article; zbMATH DE number 6868079 |
Statements
Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution (English)
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14 May 2018
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feedback and leverage effect
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GH skew Student-\(t\) distribution
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Markov chain Monte Carlo
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non-Gaussian and nonlinear state space models
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stochastic volatility-in-mean
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0.8952703475952148
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0.8640348315238953
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0.8581405282020569
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0.8488755226135254
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