2 papers
stat.CO2026
Stochastic Volatility in Mean Models with Heavy Tails: A Fast Approximate Bayesian Inference Using Hidden Markov Models
Bruno E. Holtz, Carlos A. Abanto-Valle, Ricardo S. Ehlers +1
This paper extends the approximate Bayesian estimation framework for Stochastic Volatility in Mean (SVM) models to accommodate heavy-tailed distributions from the Scale Mixture of…
q-fin.ST2025
Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach
Bruno E. Holtz, Ricardo S. Ehlers, Adriano K. Suzuki +1
Financial time series often exhibit skewness and heavy tails, making it essential to use models that incorporate these characteristics to ensure greater reliability in the results.…