コバヤシ　ゲンヤ   KOBAYASHI GENYA   小林　弦矢    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2016/03
形態種別	学術雑誌
査読	査読あり
標題	Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
執筆形態	単著
掲載誌名	COMPUTATIONAL STATISTICS
掲載区分	国外
出版社・発行元	SPRINGER HEIDELBERG
巻・号・頁	31(1),pp.49-88
著者・共著者	Genya Kobayashi
概要	This paper proposes a unified framework to analyse the skewness, tail heaviness, quantiles and expectiles of the return distribution based on a stochastic volatility model using a new parametrisation of the skew exponential power (SEP) distribution. The SEP distribution can express a wide range of distribution shapes through two shape parameters and one skewness parameter. Since the asymmetric Laplace and skew normal distributions are included as special cases, the proposed model is related to quantile regression and expectile regression. The efficient and simple Markov chain Monte Carlo estimation methods are also described. The proposed model is demonstrated using the simulated data and real data on daily return of foreign exchange rate.
DOI	10.1007/s00180-015-0596-4
ISSN	0943-4062