Markov chain Monte Carlo methods for stochastic volatility models
Siddharta Chib; Federico Nardari; Neil Shephard
| Year of publication: |
2002
|
|---|---|
| Authors: | Chib, Siddhartha ; Nardari, Federico ; Shephard, Neil G. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 108.2002, 2, p. 281-316
|
| Subject: | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of econometrics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001657610