Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
Year of publication: |
2008-09
|
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Authors: | Hautsch, Nikolaus ; Ou, Yangguoyi |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Stochastic Volatility | Markov Chain Monte Carlo | Metropolis-Hastings al- Jump Processes |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2008-063 25 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; G12 - Asset Pricing |
Source: |
-
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