In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized … hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our …

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized … hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our …

generalized hyperbolic innovations. The novelty of the model is that parameter estimation is conducted by joint maximum likelihood …

In this study, a multivariate ARMA-GARCH model with fractional generalized hyperbolic innovations exhibiting fat …-tail, volatility clustering, and long-range dependence properties is introduced. To define the fractional generalized hyperbolic … Gaussian process, and thereafter, the fractional generalized hyperbolic process is obtained using the Volterra kernel. Based on …