Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574)
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scientific article; zbMATH DE number 6609189
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| English | Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles |
scientific article; zbMATH DE number 6609189 |
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Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (English)
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4 August 2016
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Bayesian expectile regression
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Bayesian quantile regression
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double two-piece family
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foreign exchange return
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Markov chain Monte Carlo
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0.7669281363487244
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0.7652290463447571
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0.7601205110549927
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0.7582384347915649
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0.751152753829956
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