The HESSIAN method for models with leverage-like effects
Barnabé Djegnéné and William J. McCausland
| Year of publication: |
2015
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|---|---|
| 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
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| 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 |
| 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/10011339247