Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
Year of publication: |
2004
|
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Authors: | Liesenfeld, Roman ; Richard, Jean-François |
Publisher: |
Kiel : Kiel University, Department of Economics |
Subject: | Zeitreihenanalyse | Volatilität | Stochastischer Prozess | Multivariate Analyse | Monte-Carlo-Methode | Maximum-Likelihood-Methode | Finanzmarkt | Theorie | Dynamic Latent Variables | Markov Chain Monte Carlo | Maximum likelihood | Simulation Smoother |
Series: | Economics Working Paper ; 2004-12 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 475959876 [GVK] hdl:10419/21987 [Handle] RePEc:zbw:cauewp:2443 [RePEc] |
Classification: | C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C52 - Model Evaluation and Testing |
Source: |
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Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
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