Bayesian analysis of multivariate stochastic volatility with skew return distribution
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 |
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