On Geometric Ergodicity of Skewed - SVCHARME models
AbstractMarkov 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1209.1544.
Date of creation: Sep 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-16 (All new papers)
- NEP-ECM-2012-09-16 (Econometrics)
- NEP-ETS-2012-09-16 (Econometric Time Series)
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