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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...
Wedi'i Gadw mewn:
| Cyhoeddwyd yn: | Stat Interface |
|---|---|
| Prif Awduron: | , , |
| Fformat: | Artigo |
| Iaith: | Inglês |
| Cyhoeddwyd: |
2017
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| Pynciau: | |
| Mynediad Ar-lein: | 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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