On generalised asymmetric stochastic volatility models (Q429633)
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scientific article; zbMATH DE number 6048223
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| English | On generalised asymmetric stochastic volatility models |
scientific article; zbMATH DE number 6048223 |
Statements
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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0.9705361
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0.9222016
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0.9160572
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0.9147843
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0.9100173
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0.90969557
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