2 citations · 2 across the 2 of their papers we have counts for
2 papers
stat.ME2019
Skew selection for factor stochastic volatility models
Jouchi Nakajima
This paper proposes factor stochastic volatility models with skew error distributions. The generalized hyperbolic skew t-distribution is employed for common-factor processes and id…
stat.ME2012★ 2 cited
Bayesian analysis of multivariate stochastic volatility with skew distribution
Jouchi Nakajima
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with…