On Geometric Ergodicity of Skewed - SVCHARME models
Statistical Finance
2016-12-09 v1 Statistics Theory
Methodology
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1209.1544,
title = {On Geometric Ergodicity of Skewed - SVCHARME models},
author = {Jerzy P. Rydlewski and Małgorzata Snarska},
journal= {arXiv preprint arXiv:1209.1544},
year = {2016}
}