BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES
Year of publication: |
2014
|
---|---|
Authors: | FRAME, SAMUEL J. ; RAMEZANI, CYRUS A. |
Published in: |
Annals of Financial Economics (AFE). - World Scientific Publishing Co. Pte. Ltd., ISSN 2010-4960. - Vol. 09.2014, 03, p. 1450008-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Asset price processes | affine jump-diffusion | double exponential jump-diffusion | Markov chain Monte Carlo | Bayesian econometrics |
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