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In this paper, we propose a new stochastic volatility model based on a generalized skew-Student-t distribution for stock returns. This new model allows a parsimonious and flexible treatment of the skewness and heavy tails in the conditional distribution of the returns. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for computing the posterior estimates of the model parameters. Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting via a computational Bayesian framework are considered. The MCMC-based method exploits a skewnormal mixture representation of the error distribution. The proposed methodology is applied to the Shenzhen Stock Exchange Component Index (SZSE-CI) daily returns. Bayesian model selection criteria reveal that there is a significant improvement in model fit to the SZSE-CI returns data by using the SV model based on a generalized skew-Student-t distribution over the usual normal and Student-t models. Empirical results show that the skewness can improve VaR and ES forecasting in comparison with the normal and Student-t models. We demonstrate that the generalized skew-Studentt tail behavior is important in modeling stock returns data.

<p>In this paper, we present a novel approach for joint decorrelation<br />and despeckling of synthetic aperture radar (SAR) imagery. An iterative<br />maximum a posterior estimation is performed to obtain the<br />correlation and speckle-free SAR data, which incorporates a correlation<br />model which realistically explores the physical correlated<br />process of speckle noise on signal in SAR imaging. The correlation<br />model is determined automatically via Bayesian estimation in the<br />log-Fourier domain and patch-wise computation is used to account<br />for spatial nonstationarities existing in SAR data. The proposed<br />approach is compared to a state-of-the-art despeckling technique<br />using both simulated and real SAR data. Experimental results illustrate<br />its improvement in preserving the structural detail, especially<br />the sharpness of the edges, when suppressing speckle noise.</p>

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