MCMC methods for comparing stochastic volatility and GARCH models
Year of publication: |
2006
|
---|---|
Authors: | Gerlach, Richard ; Tuyl, Frank |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 22.2006, 1, p. 91-107
|
Subject: | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | ARCH-Modell | ARCH model | Finanzmarkt | Financial market |
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