Estimating Correlated Jumps and Stochastic Volatilities
Year of publication: |
2013
|
---|---|
Authors: | Witzany, Jiří |
Published in: |
Prague Economic Papers. - Vysoká Škola Ekonomická v Praze, ISSN 1210-0455. - Vol. 2013.2013, 2, p. 251-283
|
Publisher: |
Vysoká Škola Ekonomická v Praze |
Subject: | value at risk | jump-diffusion | stochastic volatility | MCMC | Monte Carlo |
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