Results 251 to 260 of about 15,002 (270)

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, Cristian Bayes, Gabriel Rodríguez   +2 more
openaire  

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.
openaire  

"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
openaire  

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Identification of Nonlinear State-Space Systems With Skewed Measurement Noises

IEEE Transactions on Circuits and Systems I: Regular Papers, 2022
Xinpeng Liu, Xuebo Yang
exaly  

A novel Gaussian-Student’s t-Skew mixture distribution based Kalman filter

Signal Processing
Han Zou, Sunyong Wu, Qiutiao Xue, Xiyan Sun, Ming Li   +4 more
openaire   +1 more source

Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution

2015
This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown parameters ...
openaire   +1 more source

Objective Bayesian modelling of insurance risks with the skewed Student‐t distribution

Applied Stochastic Models in Business and Industry, 2017
Fabrizio Leisen, J MIGUEL Marin, Cristiano Villa   +2 more
exaly  

An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student’s t-distribution

Communications in Statistics - Theory and Methods, 2018
Liborio I Costa
exaly  

Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?

Insurance: Mathematics and Economics, 2012
Martin Eling
exaly  

Bayesian QTL mapping using skewed Student-t distributions

Genetics Selection Evolution, 2002
Ina Hoeschele
exaly