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...

In regression models, the classical assumption of normal distribution of the random observational errors is often violated, masking some important features of the variability present in the data. Some practical actions to solve the problem, like transformation of variables to achieve normality,...