On asymmetric generalised t stochastic volatility models

DOI10.1016/j.matcom.2012.04.007zbMath1262.91150MaRDI QIDQ1761658

Joanna J. J. Wang

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

zbMATH Keywords

stochastic volatility; Markov chain Monte Carlo; volatility asymmetry; generalised t distribution; uniform scale mixture

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

Related Items

Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution, Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution

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