Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
Year of publication: |
2015
|
---|---|
Authors: | Kostrzewski, Maciej |
Published in: |
Central European Journal of Economic Modelling and Econometrics. - CEJEME. - Vol. 7.2015, 1, p. 43-70
|
Publisher: |
CEJEME |
Subject: | double exponential jump diffusion model | Kou model | Bernoulli jump-diffusion model | MCMC methods | latent variables |
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