Multivariate stochastic volatility via Wishart processes: a comment
Year of publication: |
2012
|
---|---|
Authors: | Rinnergschwentner, Wolfgang ; Tappeiner, Gottfried ; Walde, Janette F. |
Other Persons: | Philipov, Alexander (reviewed) ; Glickman, Mark E. (reviewed) |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 30.2012, 1, p. 164
|
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
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