Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
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Publication:736574
DOI10.1007/s00180-015-0596-4zbMath1342.65041MaRDI QIDQ736574
Publication date: 4 August 2016
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-015-0596-4
Markov chain Monte Carlo; Bayesian quantile regression; Bayesian expectile regression; double two-piece family; foreign exchange return
62-08: Computational methods for problems pertaining to statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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