Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles |
scientific article |
Statements
Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (English)
0 references
4 August 2016
0 references
Bayesian expectile regression
0 references
Bayesian quantile regression
0 references
double two-piece family
0 references
foreign exchange return
0 references
Markov chain Monte Carlo
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
