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Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 159-179
Persistent link: https://www.econbiz.de/10005616142
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Bayesian estimation of the Heston volatility model
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003
Persistent link: https://www.econbiz.de/10001752050
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Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Annals of the Institute of Statistical Mathematics : AISM 61 (2009) 1, pp. 159-180
Persistent link: https://www.econbiz.de/10008173293
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Bayesian reconciliation of return predictability
Koval, Borys; Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 337-378
Persistent link: https://www.econbiz.de/10014631938