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econ.EM2024
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture samp…
econ.EM2024
Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting
Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe +1
Accurate forecasting of volatility is essential for financial risk management and for the evaluation of tail risk measures such as value-at-risk (VaR) and expected shortfall (ES).…