On generalised asymmetric stochastic volatility models (Q429633)

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scholarly article

On generalised asymmetric stochastic volatility models (English)

Georgios Tsiotas

Computational Statistics and Data Analysis

publication date

20 June 2012

zbMATH Keywords

stochastic volatility

leverage effect

noncentral-\(t\) distribution

skew-normal distribution

skew-\(t\) distribution

Metropolis-Hastings

MCMC

DIC

model selection

forecasting evaluation

describes a project that uses

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.csda.2011.06.031

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Bayesian Measures of Model Complexity and Fit

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