A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model
Year of publication: |
2012
|
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Authors: | Fung, Eric |
Other Persons: | Ho, Ching-Wah (contributor) ; Siu, Tak-Kuen (contributor) ; Wong, Wing-Keung (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Markov-Kette | Markov chain | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Theorie | Theory |
Extent: | 1 Online-Ressource (28 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1546389 [DOI] |
Classification: | C11 - Bayesian Analysis ; C13 - Estimation ; C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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