Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
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Publication:736574
DOI10.1007/S00180-015-0596-4zbMATH Open1342.65041OpenAlexW610281648MaRDI QIDQ736574FDOQ736574
Authors: Genya Kobayashi 
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
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Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (8)
- An alternative skew exponential power distribution formulation
- Loss-based approach to two-piece location-scale distributions with applications to dependent data
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Skew selection for factor stochastic volatility models
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- Bayesian quantile regression using the skew exponential power distribution
- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
- Inferential Aspects of the Skew Exponential Power Distribution
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