MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

DOI10.2202/1558-3708.1211MaRDI QIDQ3368337zbMATH OpenOpenAlexFDO

Authors Nunzio Cappuccio, Diego Lubian, Davide Raggi

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1211

zbMATH Keywords

Bayesian inferenceheavy tailsMarkov chain Monte Carloskewnessstochastic volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cited in

(14)

• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• A new filtering inference procedure for a GED state-space volatility model
• Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
• On geometric ergodicity of skewed-SVCHARME models
• Risk shocks with time-varying higher moments
• scientific article; zbMATH DE number 5121842 (Why is no real title available?)
• Computational tools for comparing asymmetric GARCH models via Bayes factors
• On generalised asymmetric stochastic volatility models
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles

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