MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

DOI10.2202/1558-3708.1211zbMATH Open1081.91523OpenAlexW3124753456MaRDI QIDQ3368337FDOQ3368337

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

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zbMATH Keywords

Markov chain Monte CarloBayesian inferenceheavy tailsskewnessstochastic volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited In (14)

• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
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• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
• Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
• Title not available (Why is that?)
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• A new filtering inference procedure for a GED state-space volatility model
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Risk shocks with time-varying higher moments
• On generalised asymmetric stochastic volatility models
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model

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