This paper proposes a flexible stochastic volatility model with jumps and leverage effect by introducing a generalized hyperbolic skew Student’s t-distribution (GHST), which can capture the skewnes...
Feng-Chang Xie, Ya-Yu Shen
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Hsiu J. Ho +2 more
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The Generalized Hyperbolic Skew Student's t-Distribution
Journal of Financial Econometrics, 2006In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote as the GH skew Student’s t-distribution. This distribution has the important property that one tail has polynomial and the other exponential behavior. Further, it is the only subclass of the GH family of distributions having this property.
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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s
Computational Statistics & Data Analysis, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jouchi Nakajima, Yasuhiro Omori
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A two-regime threshold model with conditional skewed Student t distributions for stock returns
Economic Modelling, 2014Abstract This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t distribution within each regime: the model allows capturing time variation in the conditional distribution of returns, as well as higher order moments. An application of the model to daily U.S.
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STATISTICAL PROPERTIES AND APPLICATIONS OF TRANSMUTED SKEW STUDENT t DISTRIBUTION
In this study, a modified 2-parameter skew t distribution called the transmuted skew student t distribution (TSStD) was presented. Some statistical and reliability properties of TSStD such as the quantile function, the raw moments, and the moment generating function (among others), were derived.John, David Ikwuoche, Stephen, Mathew
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A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns [PDF]
, 2015 This paper presents an empirical study of a stochastic volatility (SV) model for daily stocks returns data of a set of Latin-American countries (Argentina, Brazil, Chile, Mexico and Peru) for the sample period 1996:01-2013:12. We estimate SV models incorporating both leverage e§ects and skewed heavy-tailed disturbances taking into account the GH Skew ...
Patricia Lengua +2 more
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GH skew Student's t-distribution in stochastic volatility model with application to stock returns [PDF]
, 2010 This paper represents empirical studies of SV models with a generalized hyperbolic (GH) skew Student's t-error distribution to embed both asymmetric heavy-tailness and leverage effects for financial time series. An efficient Markov chain Monte Carlo estimation method is described and the model is fit to daily S&P500 stock returns.
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"Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models" [PDF]
, 2010 Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student's t-error distribution is described where we first consider an asymmetric heavy-tailed error and leverage effects. An efficient Markov chain Monte Carlo estimation method is described that exploits a normal variance-mean mixture representation of the ...
Jouchi Nakajima, Yasuhiro Omori
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Identification of Nonlinear State-Space Systems With Skewed Measurement Noises
IEEE Transactions on Circuits and Systems I: Regular Papers, 2022Xinpeng Liu, Xiangqiang Yang
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