Estimating Correlated Jumps and Stochastic Volatilities
Year of publication: |
2011-11
|
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Authors: | Witzany, Jiří |
Institutions: | Institut ekonomických studií, Univerzita Karlova v Praze |
Subject: | jump-diffusion | stochastic volatility | MCMC | Value at Risk | Monte Carlo |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2011/35 31 pages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets |
Source: |
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Estimating Correlated Jumps and Stochastic Volatilities
Witzany, Jiří, (2013)
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří, (2011)
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří, (2013)
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