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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the...
Persistent link: https://www.econbiz.de/10014620915
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Investigating asymmetry in US stock market indexes : evidence from a stochastic volatility model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Applied financial economics 16 (2006) 6, pp. 479-490
Persistent link: https://www.econbiz.de/10003335022
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MCMC Bayesian estimation of a Skew-GED stochastic volatility model
Cappuccio, Nunzio (contributor); Lubian, Diego (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2
Persistent link: https://www.econbiz.de/10002651756
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Mcmc Bayesian Estimation of a Skew-Ged Stochastic Volatility Model
Cappuccio, Nunzio - 2003
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the...
Persistent link: https://www.econbiz.de/10012739392
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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatily Model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the...
Persistent link: https://www.econbiz.de/10011264964
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MCMC Bayesian estimation of a Skew-GED stochastic volatility model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2
Persistent link: https://www.econbiz.de/10009949810
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Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Applied financial economics 16 (2006) 6, pp. 479-490
Persistent link: https://www.econbiz.de/10007634231
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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1211-1211
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the...
Persistent link: https://www.econbiz.de/10005579865
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Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Applied Financial Economics 16 (2006) 6, pp. 479-490
This study provides empirical evidence on asymmetry in financial returns using a simple stochastic volatility model which allows a parsimonious yet flexible treatment of both skewness and heavy tails in the conditional distribution of returns. In particular, it is assumed that returns have a...
Persistent link: https://www.econbiz.de/10005637807
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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatily Model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the...
Persistent link: https://www.econbiz.de/10005641897