On geometric ergodicity of skewed—SVCHARME models

• DOI: 10.1016/j.spl.2013.10.008
• Publication Date: 2013-10-21T17:19:39Z
• Authors: Jerzy P. Rydlewski; Małgorzata Snarska
• Keywords: Ergodicity

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.