Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s <i>t</i> distribution (Q6107596)
From MaRDI portal
scientific article; zbMATH DE number 7706301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s <i>t</i> distribution |
scientific article; zbMATH DE number 7706301 |
Statements
Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s <i>t</i> distribution (English)
0 references
3 July 2023
0 references
stochastic volatility
0 references
threshold
0 references
leverage
0 references
GHST distribution
0 references
MH algorithm
0 references
Gibbs sampler
0 references
0 references
