Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
Copyright policy )Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
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- University of Tokyo Japan
- Duke University United States
- Hitotsubashi University Japan
Applications of statistics to actuarial sciences and financial mathematics, Bayesian inference, Computational problems in statistics, Markov chain Monte Carlo, state space model, stock returns, mixing distribution, Numerical analysis or methods applied to Markov chains, generalized hyperbolic skew Student's t-distribution, Markov chain Monte Carlo, Mixing distribution, State space model, Stochastic volatility, Stock returns, stochastic volatility, generalized hyperbolic skew Student's \(t\)-distribution
Applications of statistics to actuarial sciences and financial mathematics, Bayesian inference, Computational problems in statistics, Markov chain Monte Carlo, state space model, stock returns, mixing distribution, Numerical analysis or methods applied to Markov chains, generalized hyperbolic skew Student's t-distribution, Markov chain Monte Carlo, Mixing distribution, State space model, Stochastic volatility, Stock returns, stochastic volatility, generalized hyperbolic skew Student's \(t\)-distribution
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