Bayesian analysis of multivariate stochastic volatility with skew return distribution
type: Item
instance of: scholarly article
title: Bayesian analysis of multivariate stochastic volatility with skew return distribution
DOI: 10.1080/07474938.2014.977093
author: Jouchi Nakajima
published in: Econometric Reviews
publication date: 2022-06-07T00:00:00Z
full work available at URL: https://arxiv.org/abs/1212.5090
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7537906
zbMATH Keywords: generalized hyperbolic skew t-distribution
zbMATH Keywords: multivariate stochastic volatility
zbMATH Keywords: portfolio allocation
zbMATH Keywords: skew selection
zbMATH Keywords: stock returns
zbMATH Keywords: value at risk
describes a project that uses: bvarsv
describes a project that uses: QRM
describes a project that uses: sn
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2083157007
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description: scientific article; zbMATH DE number 7537906