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   Articles with "factor stochastic" as a keyword



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Skew selection for factor stochastic volatility models

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recommendations! Published in 2019 at "Journal of Applied Statistics"

DOI: 10.1080/02664763.2019.1646227

Abstract: ABSTRACT This paper proposes factor stochastic volatility models with skew error distributions. The generalized hyperbolic skew t-distribution is employed for common-factor processes and idiosyncratic shocks. Using a Bayesian sparsity modeling strategy for the skewness parameter… read more here.

Keywords: models skew; stochastic volatility; factor stochastic; volatility models ... See more keywords