Does fintech matter for financial inclusion and financial stability in BRICS markets?
We investigate whether fintech development expedites financial inclusion and affects the
stability of the financial sector in BRICS economies. We first seek to identify the linkage …
stability of the financial sector in BRICS economies. We first seek to identify the linkage …
[HTML][HTML] Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t …
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 …
skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation …
A locally both leptokurtic and fat-tailed distribution with application in a Bayesian stochastic volatility model
Ł Lenart, A Pajor, Ł Kwiatkowski - Entropy, 2021 - mdpi.com
In the paper, we begin with introducing a novel scale mixture of normal distribution such that
its leptokurticity and fat-tailedness are only local, with this “locality” being separately …
its leptokurticity and fat-tailedness are only local, with this “locality” being separately …
Endogenous Threshold Stochastic Volatility Model: An Outlook Across the Globe for Stock Market Indices
RJR Chaparro - 2023 - search.proquest.com
Asymmetries and heavy tails are well-known characteristics on compound daily returns
stock market indices. The THSV-SMN–Threshold Stochastic Volatility Model with Scale …
stock market indices. The THSV-SMN–Threshold Stochastic Volatility Model with Scale …
Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
CA Abanto-Valle, HB Garrafa-Aragón - Economía, 2019 - revistas.pucp.edu.pe
This paper extends the threshold stochastic volatility (THSV) model specification proposed
in So et al.(2002) and Chen et al.(2008) by incorporating thick-tails in the mean equation …
in So et al.(2002) and Chen et al.(2008) by incorporating thick-tails in the mean equation …
[ΑΝΑΦΟΡΑ][C] Endogenous Threshold Stochastic Volatility Model: An Outlook Across the Globe for Stock Market Indices
RJ Robles Chaparro - 2023 - Pontificia Universidad Católica del …