Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t-distribution.
Sign Up to like & getrecommendations! Published in 2017 at "Statistics and its interface"
DOI: 10.4310/sii.2017.v10.n4.a1
Abstract: 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… read more here.
Keywords: stochastic volatility; volatility mean; mean model; model ... See more keywords