Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
Year of publication: |
2008-10-13
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Authors: | Griffin, Jim ; Steel, Mark F.J. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Leverage effect | Levy process | Long memory | Markov chain Monte Carlo | Stock price |
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