Bayesian analysis of multivariate stochastic volatility with skew return distribution
Jouchi Nakajima
| Year of publication: |
2017
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|---|---|
| Authors: | Nakajima, Jouchi |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 5, p. 546-562
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| Subject: | Generalized hyperbolic skew t-distribution | multivariate stochastic volatility | portfolio allocation | skew selection | stock returns | value at risk | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Theorie | Theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2014.977093 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011795262