Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets
Gaetano Fileccia; Carlo Sgarra
| Year of publication: |
2015
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|---|---|
| Authors: | Fileccia, Gaetano ; Sgarra, Carlo |
| Published in: |
International journal of computational economics and econometrics. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1170, ZDB-ID 2550146-X. - Vol. 5.2015, 4, p. 451-479
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| Subject: | PMCMC | particle Markov Chain Monte Carlo | Bayesian estimation | commodity markets | energy markets | stochastic volatility | models with jumps | computional economics | computional econometrics | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Energiemarkt | Energy market | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJCEE.2015.072289 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011440890