Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution

DOI10.1016/j.csda.2010.07.012zbMath1255.62319MaRDI QIDQ1927148

Yasuhiro Omori, Jouchi Nakajima

Publication date: 30 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.012

zbMATH Keywords

stochastic volatility; Markov chain Monte Carlo; stock returns; mixing distribution; state space model; generalized hyperbolic skew Student's \(t\)-distribution

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

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