On asymmetric generalised t stochastic volatility models
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Publication:1761658
DOI10.1016/j.matcom.2012.04.007zbMath1262.91150MaRDI QIDQ1761658
Publication date: 15 November 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2012.04.007
stochastic volatility; Markov chain Monte Carlo; volatility asymmetry; generalised t distribution; uniform scale mixture
91G60: Numerical methods (including Monte Carlo methods)
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