MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

By Nunzio Cappuccio, Diego Lubian, Davide Raggi. 2004

47 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/38c4a121152f91322b59b545cfd780106bd34df4

How researchers see this paper

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In Finance

1. Adelchi Azzalini

In Statistics and Probability

1. Adelchi Azzalini
2. Marc G. Genton
3. Reinaldo Boris Arellano-Valle
4. Yulia V. Marchenko
5. Arjun K. Gupta
6. Olçay Arslan
7. Georg M. Goerg
8. Nicola Maria Rinaldo Loperfido

Citations in the corpus

• The Skew‐normal Distribution and Related Multivariate Families * (2005, methodology): “The replacement of normal assumption with SN one has been considered by various authors: Goria (1999), Pietrobon (2003), De Luca & Loperfido (2004) and Cappuccio et al. (2004).”