Jumps in equity index returns before and during the recent financial crisis : a Bayesian analysis
Steven Kou, Cindy Yu, Haowen Zhong
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Kou, Steven ; Yu, Cindy ; Zhong, Haowen |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 4, p. 988-1010
|
| Subject: | affine jump-diffusion models | equity returns | financial crisis | Bayesian Markov chain Monte Carlo | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2015.2359 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672793