On Geometric Ergodicity of Skewed - SVCHARME models
classification
💱 q-fin.ST
math.STstat.MEstat.TH
keywords
chainergodicitygeometricmarkovmodelsanalyzecarloclass
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Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching.
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