Bayesian estimation of generalized hyperbolic skewed student GARCH models

DOI10.1016/j.csda.2011.10.021zbMath1254.91577OpenAlexW2028016390MaRDI QIDQ1927090

Philippe J. Deschamps

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/29415/files/WP_DQE_16.pdf

zbMATH Keywords

bridge samplingMarkov chain Monte Carloautoregressive conditional heteroskedasticitygeneralized inverse Gaussian distributiongeneralized hyperbolic distributionheavy-tailed skewed distributions

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ Controlling the flexibility of non-Gaussian processes through shrinkage priors ⋮ Estimation methods for expected shortfall ⋮ Generalized autoregressive moving average models with GARCH errors

Uses Software

• tsbridge

Cites Work

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