A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation structure between the observation and state innovation vectors and we extend the convolution between the Wishart and the multivariate singular beta distribut...

With the help of the generalized hyperbolic function, the subsidiary ordinary differential equation method is improved and proposed to construct exact traveling wave solutions of the nonlinear partial differential equations in a unified way. A class of nonlinear Schrödinger-type equations including the generalized Zakharov system, the Rangwala-Rao equation, and the Chen-Lee-Liu equation are inv...

in this paper, we derive the exact analytical expressions for the shannon entropy of generalized orderstatistics from pareto-type and related distributions.

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function of the state variables, we show that the...

In this paper, we consider a form of the generalized logistic distribution named symmetric extended generalized logistic distribution or extended type III generalized logistic distribution. The distribution is derived by compounding a two-parameter generalized Gumbel distribution with a two-parameter generalized gamma distribution. The cumulative distribution and some properties of this distrib...