A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model

A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model

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 controlled by two censoring parameters. This new, locally leptokurtic and fat-tailed (LLFT) distribution makes a...

Full description

Bibliographic Details
Main Authors: Łukasz Lenart, Anna Pajor, Łukasz Kwiatkowski
Format: Article
Language:English
Published: MDPI AG 2021-05-01
Series:Entropy
Subjects:
stochastic volatility
Markov chain Monte Carlo
Bayesian inference
leptokurticity
heavy tails
scale mixture of normals
Online Access:https://www.mdpi.com/1099-4300/23/6/689

Internet

https://www.mdpi.com/1099-4300/23/6/689

Similar Items