Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
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- scientific article; zbMATH DE number 3930122 (Why is no real title available?)
- scientific article; zbMATH DE number 3980216 (Why is no real title available?)
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- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
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Cited in
(8)- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Skew selection for factor stochastic volatility models
- Bayesian quantile regression using the skew exponential power distribution
- Inferential Aspects of the Skew Exponential Power Distribution
- An alternative skew exponential power distribution formulation
- Loss-based approach to two-piece location-scale distributions with applications to dependent data
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
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