Bayesian analysis of stochastic volatility models with flexible tails

DOI10.1080/07474939808800408zbMath0908.62107MaRDI QIDQ3842859

Mark F. J. Steel

Publication date: 20 August 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800408

zbMATH Keywords

Markov chain Monte Carlo; financial time series; leptokurtic distributions; skewed exponential power distribution

Mathematics Subject Classification ID

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

62F15: Bayesian inference

91B84: Economic time series analysis

Related Items

Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles

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