Stramer, Osnat; Bognar, Matthew; Schneider, Paul - In: Journal of Financial Econometrics 8 (2010) 4, pp. 450-480
This article proposes a new Bayesian Markov chain Monte Carlo (MCMC) methodology for estimation of a wide class of multidimensional jump-diffusion models. Our approach is based on the closed-form (CF) likelihood approximations of Aït-Sahalia (2002, 2008). The CF likelihood approximation does...
