On generalised asymmetric stochastic volatility models

DOI10.1016/j.csda.2011.06.031zbMath1241.91146OpenAlexW2009312408MaRDI QIDQ429633

Georgios Tsiotas

Publication date: 20 June 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.2011.06.031

zbMATH Keywords

model selectionstochastic volatilityleverage effectskew-normal distributionMCMCMetropolis-HastingsDICskew-\(t\) distributionforecasting evaluationnoncentral-\(t\) distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

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Uses Software

• BayesDA

Cites Work

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