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arXiv · 1209.1544

On Geometric Ergodicity of Skewed - SVCHARME models

Jerzy P. Rydlewski·Małgorzata Snarska
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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.

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Jerzy P. Rydlewski, Małgorzata Snarska. 2012-09-07. On Geometric Ergodicity of Skewed - SVCHARME models. https://doi.org/10.1016/j.spl.2013.10.008

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