Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964)
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scientific article; zbMATH DE number 6484502
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| English | Bayesian estimation of a skew-Student-\(t\) stochastic volatility model |
scientific article; zbMATH DE number 6484502 |
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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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0.9057798385620116
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0.8554611206054688
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0.8472198247909546
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0.8384998440742493
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