On Geometric Ergodicity of Skewed - SVCHARME models
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 of creation:||Sep 2012|
|Publication status:||Published in Statistics & Probability Letters, Volume 84, January 2014, Pages 192-197|
|Contact details of provider:|| Web page: http://arxiv.org/|
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