On Geometric Ergodicity of Skewed - SVCHARME models

Jerzy P. Rydlewski and Malgorzata Snarska

Papers from arXiv.org

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.

Date: 2012-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Statistics & Probability Letters, Volume 84, January 2014, Pages 192-197

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Related works:
Journal Article: On geometric ergodicity of skewed—SVCHARME models (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1209.1544

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