Bayesian analysis of multivariate stochastic volatility with skew return distribution (Q5864448)
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scientific article; zbMATH DE number 7537906
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| default for all languages | No label defined |
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| English | Bayesian analysis of multivariate stochastic volatility with skew return distribution |
scientific article; zbMATH DE number 7537906 |
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Bayesian analysis of multivariate stochastic volatility with skew return distribution (English)
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7 June 2022
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generalized hyperbolic skew t-distribution
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multivariate stochastic volatility
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portfolio allocation
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skew selection
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stock returns
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value at risk
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0.9173832
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0.91560286
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0.91298085
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0.90588737
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0.90588737
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0.90560263
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