Bayesian estimation of a skew-Student-t stochastic volatility model
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Publication:496964
DOI10.1007/S11009-013-9389-9zbMATH Open1327.62128OpenAlexW2031317943MaRDI QIDQ496964FDOQ496964
Authors: Carlos A. Abanto-Valle, V. H. Lachos, Dipak K. Dey 
Publication date: 23 September 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-013-9389-9
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Markov chain Monte Carlostochastic volatilityvalue-at-risknon-Gaussian and nonlinear state space modelsskew-Student-\(t\)
Bayesian inference (62F15) Continuous-time Markov processes on general state spaces (60J25) Nonlinear ordinary differential equations and systems (34A34)
Cites Work
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Cited In (22)
- A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- New parametrization of stochastic volatility models
- Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns
- Title not available (Why is that?)
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Skew selection for factor stochastic volatility models
- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
- 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
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- Data cloning estimation for asymmetric stochastic volatility models
- A skew regression model for inference of stock volatility
- An overview of skew distributions in model-based clustering
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
- A variational Bayesian approach for inverse problems with skew-\(t\) error distributions
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