Bayesian inference for stochastic volatility models using the generalized skew-$t$ distribution with applications to the Shenzhen Stock Exchange returns-Reference-Cited by-同舟云学术

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Bayesian inference for stochastic volatility models using the generalized skew-$t$ distribution with applications to the Shenzhen Stock Exchange returns

Published:2014 Issue:4 Volume:7 Page:487-502
ISSN:1938-7989
Container-title:Statistics and Its Interface
language:en
Short-container-title:

Author:

Abanto-Valle Carlos A.¹,Wang Caifeng²,Wang Xiaojing³,Wang Fei-Xing²,Chen Ming-Hui³

Affiliation:

1. Departament of Statistics, Federal University of Rio de Janeiro, Rio de Janeiro, Brazil

2. School of Mathematics and Physics, University of Science and Technology, Beijing, China

3. Department of Statistics, University of Connecticut, Storrs, Conn., U.S.A.

Publisher

International Press of Boston

Subject

Applied Mathematics,Statistics and Probability

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Does fintech matter for financial inclusion and financial stability in BRICS markets?;Emerging Markets Review;2024-07

2. A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model;Entropy;2021-05-30

3. Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach;Economía;2019

4. Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student’s t-distribution;Statistics and Its Interface;2017

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