Stochastic volatility : Bayesian computation using automatic differentiation and the extended Kalman filter
Year of publication: |
2003
|
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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: | Zustandsraummodell | State space model | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference |
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