Stochastic volatility with leverage : fast likelihood inference
Yasuhiro Omori ...
| Year of publication: |
22 Aug. 2004 ; [Elektronische Ressource]
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|---|---|
| Authors: | Omori, Yasuhiro ; Chib, Siddhartha ; Shephard, Neil G. ; Nakajima, Jouchi |
| Institutions: | Nuffield College (contributor) |
| Publisher: |
Oxford : Nuffield College |
| Subject: | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zustandsraummodell | State space model |
| Extent: | Online-Ressource, 23 p., text ill |
|---|---|
| Series: | Economics discussion papers. - Oxford : [Verlag nicht ermittelbar], ZDB-ID 2103758-9. - Vol. 2004,19 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002365024