A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
Roberto Casarin, Fabrizio Leisen, German Molina and Enrique Ter Horst
| Year of publication: |
[2014]
|
|---|---|
| Authors: | Casarin, Roberto ; Leisen, Fabrizio ; Molina, German ; Horst, Enrique ter |
| Publisher: |
Venice Italy : Department of Economics, Ca’ Foscari University of Venice |
| Subject: | Bayesian inference | Beta random fields | Exchange Metropolis Hastings | Markov chain Monte Carlo | Risk neutral measure | Theorie | Theory | Bayes-Statistik | Markov-Kette | Markov chain | Risiko | Risk | Betafaktor | Beta risk | Zinsstruktur | Yield curve | Statistische Verteilung | Statistical distribution | CAPM |
freely available
| Extent: | 1 Online-Ressource (circa 28 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - Venezia : [Verlag nicht ermittelbar], ISSN 1827-336X, ZDB-ID 2201241-2. - Vol. 2014, no. 22 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011631789