Stochastic volatility : Bayesian computation using automatic differentiation and the extended Kalman filter
Renate Meyer, David A. Fournier and Andreas Berg
| Year of publication: |
2003
|
|---|---|
| Authors: | Meyer, Renate ; Fournier, David A. ; Berg, Andreas |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 6.2003, 2, p. 408-420
|
| Subject: | Theorie | Theory | Zustandsraummodell | State space model | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001831283