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On Geometric Ergodicity of Skewed - SVCHARME models

  • Jerzy P. Rydlewski
  • Ma{\l}gorzata Snarska

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.

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Paper provided by in its series Papers with number 1209.1544.

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Date of creation: Sep 2012
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Handle: RePEc:arx:papers:1209.1544
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