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...