A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model
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DOI: 10.3390/e23060689
Abstract: In the paper, we begin with introducing a novel scale mixture of normal distribution such that its leptokurticity and fat-tailedness are only local, with this “locality” being separately controlled by two censoring parameters. This new,… read more here.
Keywords: fat tailed; volatility; model; distribution ... See more keywords