Bayesian estimation of the stochastic volatility model with double exponential jumps
Jinzhi Li
| Year of publication: |
2021
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|---|---|
| Authors: | Li, Jinzhi |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 24.2021, 2, p. 157-172
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| Subject: | Stochastic volatility | Double exponential jumps | MCMC | Stock indexes | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Aktienindex | Stock index | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-020-09173-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012549106