Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis (Q6168909)
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scientific article; zbMATH DE number 7710193
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| English | Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis |
scientific article; zbMATH DE number 7710193 |
Statements
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis (English)
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11 July 2023
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Markov chain Monte Carlo methods
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GARCH
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posterior odds ratio
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quantile regression
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asymmetric Laplace distribution
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asymmetric student t distribution
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