Vector autoregression models with skewness and heavy tails

no code implementations • 24 May 2021 • Sune Karlsson, Stepan Mazur, Hoang Nguyen

We propose a general class of generalized hyperbolic skew Student's t distribution with stochastic volatility for the error term in the VAR model that allows us to take into account skewness and heavy tails.

Bayesian Inference Model Selection