Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t-distribution
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A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov ... ...
