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Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student’s t-distribution()

A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algori...

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Dettagli Bibliografici
Pubblicato in:Stat Interface
Autori principali: Leão, William L., Abanto-Valle, Carlos A., Chen, Ming-Hui
Natura: Artigo
Lingua:Inglês
Pubblicazione: 2017
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Accesso online:https://ncbi.nlm.nih.gov/pmc/articles/PMC5766051/
https://ncbi.nlm.nih.gov/pubmed/29333210
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.4310/SII.2017.v10.n4.a1
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