Nakajima, Jouchi; Omori, Yasuhiro - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3690-3704
A Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student’s t-error distribution is described where we first consider an asymmetric heavy-tailed error and leverage effects. An efficient Markov chain Monte Carlo estimation method is described that...