Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law (Q734413)
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scientific article; zbMATH DE number 5614323
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law |
scientific article; zbMATH DE number 5614323 |
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Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law (English)
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13 October 2009
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data augmentation
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identification
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marked point processes
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Markov chain Monte Carlo
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0.9064462
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0.89883494
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0.8916664
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0.88942564
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0.88709503
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0.8852671
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