Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
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Publication:496964
DOI10.1007/s11009-013-9389-9zbMath1327.62128OpenAlexW2031317943MaRDI QIDQ496964
Victor Hugo Lachos, Dey, Dipak K., Carlos A. Abanto-Valle
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
stochastic volatilityMarkov chain Monte Carlovalue-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)
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