Estimating and testing skewness in a stochastic volatility model
Cheol Woo Lee, Kyu Ho Kang
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Cheol Woo ; Kang, Kyu Ho |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 445-467
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| Subject: | Gibbs sampling | Heavy tail | Marginal likelihood | Split normal error | Volatilität | Volatility | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Wahrscheinlichkeitsrechnung | Probability theory | 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.jempfin.2023.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014476881