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On geometric ergodicity of skewed—SVCHARME models

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  • Rydlewski, Jerzy P.
  • Snarska, Małgorzata

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 the hidden Markov Chain with switching.

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  • Rydlewski, Jerzy P. & Snarska, Małgorzata, 2014. "On geometric ergodicity of skewed—SVCHARME models," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 192-197.
    • Handle: RePEc:eee:stapro:v:84:y:2014:i:c:p:192-197
    DOI: 10.1016/j.spl.2013.10.008
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    1. Tadeusz Klecha & Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski, 2018. "New Proposals of a Stress Measure in a Capital and its Robust Estimator," Papers 1802.03756, arXiv.org.

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