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Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris; Martin, Gael M.; Forbes, Catherine … - 2006
Persistent link: https://www.econbiz.de/10003433826
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Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les - In: The journal of fixed income 7 (1997) 3, pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.; Forbes, Catherine Scipione; … - 2003
Persistent link: https://www.econbiz.de/10001854434