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  • Search: subject:"Generalized Hyperbolic Skew Student’s t-distribution"
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Risikomaß 2 Risk measure 2 Statistical distribution 2 Statistische Verteilung 2 Theorie 2 Theory 2 Value-at-Risk 2 Bergbau 1 Capital income 1 Exchange rate 1 FTSE/JSE Mining Index 1 Generalized Hyperbolic Skew Student’s t-distribution 1 Generalized hyperbolic skew Student’s t-distribution 1 Hyperbolic Distribution 1 Kapitaleinkommen 1 Markov chain 1 Markov chain Monte Carlo 1 Markov-Kette 1 Mining 1 Mixing distribution 1 Normal-Inverse Gaussian (NIG) Distribution 1 South Africa 1 State space model 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Stock returns 1 Südafrika 1 Volatility 1 Volatilität 1 Wechselkurs 1 exchange rate return 1 generalized hyperbolic skew Student’s t-distribution 1 regime-switching skewness 1 stochastic volatility 1
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Article 3
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Article in journal 2 Aufsatz in Zeitschrift 2
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English 2 Undetermined 1
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Nakajima, Jouchi 2 Chinhamu, Knowledge 1 Hammujuddy, Jahvaid 1 Huang, Chun-kai 1 Huang, Chun-sung 1 Omori, Yasuhiro 1
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Computational Statistics & Data Analysis 1 International business and economics research journal 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Generalized hyperbolic distributions and value-at-risk estimation for the South African mining index
Huang, Chun-kai; Chinhamu, Knowledge; Huang, Chun-sung; … - In: International business and economics research journal 13 (2014) 2, pp. 319-328
Persistent link: https://www.econbiz.de/10010362786
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Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
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...
Persistent link: https://www.econbiz.de/10010617663
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