Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Jing-Zhi Huang; Li Xu
| Year of publication: |
2014
|
|---|---|
| Authors: | Huang, Jing-Zhi ; Xu, Li |
| Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 4.2014, 3, p. 1-31
|
| Subject: | Stochastic volatility models | skewness | heavy-tailedness | Monte Carlo Markov chain | Bayesian analysis | model selection | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010473521