An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Patricia Lengua Lafosse, Gabriel Rodríguez
| Year of publication: |
2018
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|---|---|
| Authors: | Lengua Lafosse, Patricia ; Rodriguez, Gabriel |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 69.2018, p. 155-173
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| Subject: | Stochastic volatility | Generalized hyperbolic skew Student's t-distribution | Bayesian estimation | Markov Chain Monte Carlo | Latin American stock markets | S&P500 | Volatilität | Volatility | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Lateinamerika | Latin America | Kapitalmarktrendite | Capital market returns | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Schätztheorie | Estimation theory | Brasilien | Brazil | Chile | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2018.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012035007