Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns (Q1748891)
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scientific article; zbMATH DE number 6868304
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| English | Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns |
scientific article; zbMATH DE number 6868304 |
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Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns (English)
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14 May 2018
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Bayesian predictive information criterion (BPIC)
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deviance information criterion (DIC)
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log predictive score criterion
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Markov chain Monte Carlo
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non-Gaussian and nonlinear state space models
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expected shortfall
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value-at-risk
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0.9057798385620116
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0.8592195510864258
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0.8581405282020569
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0.8345304131507874
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