Skew selection for factor stochastic volatility models
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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
Linear censored regression models with skew scale mixtures of normal distributions
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DOI: 10.1080/02664763.2020.1795814
Abstract: A special source of difficulty in the statistical analysis is the possibility that some subjects may not have a complete observation of the response variable. Such incomplete observation of the res... read more here.
Keywords: models skew; regression models; censored regression; skew scale ... See more keywords