Skew selection for factor stochastic volatility models
From MaRDI portal
Recommendations
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
- Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns
- Skewed factor models using selection mechanisms
- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
- Bayesian skew selection for multivariate models
Cites work
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- A Skew Extension of the T-Distribution, with Applications
- Analysis of high dimensional multivariate stochastic volatility models
- Asymmetric Multivariate Stochastic Volatility
- Autoregressive Conditional Density Estimation
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- scientific article; zbMATH DE number 1034042 (Why is no real title available?)
- scientific article; zbMATH DE number 1995731 (Why is no real title available?)
- scientific article; zbMATH DE number 2063756 (Why is no real title available?)
- scientific article; zbMATH DE number 1522694 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- scientific article; zbMATH DE number 1390900 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering
- Model uncertainty
- Multivariate Stochastic Volatility
- Multivariate Stochastic Volatility Models with Correlated Errors
- On Bayesian Modeling of Fat Tails and Skewness
- On leverage in a stochastic volatility model
- Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
- Semiparametric stochastic volatility modelling using penalized splines
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The spike-and-slab LASSO
- Time series. Modeling, computation, and inference.
Cited in
(8)- Bayesian skew selection for multivariate models
- A skew regression model for inference of stock volatility
- Assessing sectoral risk through skew-error capital asset pricing model: empirical evidence from Thai stock market
- scientific article; zbMATH DE number 7387627 (Why is no real title available?)
- Skewed factor models using selection mechanisms
- Vector autoregression models with skewness and heavy tails
- Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
This page was built for publication: Skew selection for factor stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5037043)
