A comparative study of two models SV with MCMC algorithm
Ahmed Hachicha; Fatma Hachicha; Afif Masmoudi
| Year of publication: |
2012
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|---|---|
| Authors: | Hachicha, Ahmed ; Hachicha, Fatma ; Masmoudi, Afif |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 38.2012, 4, p. 479-493
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| Subject: | Autoregression | MCMC | Stochastic volatility | Student's t-distribution | SVOL | Theorie | Theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009574060