Search Results - subject:"Skew Student's t distribution"

Forecasting tail risk of skewed financial returns having exponential-polynomial tails

Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748

Persistent link: https://www.econbiz.de/10015110551

Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368

Persistent link: https://www.econbiz.de/10014292181

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021

Persistent link: https://www.econbiz.de/10012604814

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution

Nakajima, Jouchi; Omori, Yasuhiro - Institute of Economic Research, Hitotsubashi University - 2010

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-tailness as well as leverage effects. An efficient Markov chain Monte Carlo estimation method is described exploiting...

Persistent link: https://www.econbiz.de/10008629476