Bayesian estimation of a skew-Student-t stochastic volatility model
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Cited in
(22)- An overview of skew distributions in model-based clustering
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
- A skew regression model for inference of stock volatility
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Skew selection for factor stochastic volatility models
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
- Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-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
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
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- A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models
- Data cloning estimation for asymmetric stochastic volatility models
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- A variational Bayesian approach for inverse problems with skew-\(t\) error distributions
- Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- New parametrization of stochastic volatility models
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