On Geometric Ergodicity of Skewed - SVCHARME models
arXiv:1209.1544 · doi:10.1016/j.spl.2013.10.008
Abstract
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.