Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution

• Material Type: 文書・図像類
• Title: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
• Author/Editor: 中島, 上智; 大森, 裕浩
• Author Heading: 中島, 上智; 大森, 裕浩
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2010-03
• Publication Date (W3CDTF): 2010-03
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: Markov chain Monte Carlo; Mixing distribution; State space model; Stochastic volatility; Stock returns
• Target Audience: 一般
• Note (General): December 19, 2009; グローバルCOEプログラム = Global COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/18369/gd09-124.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; http://gcoe.ier.hit-u.ac.jp/english/index.html
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 124
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student's t-error distribution is described where we first ...