The HESSIAN method for models with leverage-like effects
Year of publication: |
2015
|
---|---|
Authors: | Djegnéné, Barnabé ; McCausland, William J. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 3, p. 722-755
|
Subject: | state space models | MCMC | numerical efficiency | stochastic volatility | leverage effect | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
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