Sequential gibbs particle filter algorithm with applications to stochastic volatility and jumps estimation
Year of publication: |
2019
|
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Authors: | Witzany, Jiří ; Fičura, Milan |
Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 69.2019, 5, p. 463-488
|
Subject: | Bayesian methods | MCMC | Particle filters | stochastic volatility | jumps | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model |
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