Bayesian estimation of an extended local scale stochastic volatility model (Q737916)
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scientific article; zbMATH DE number 6616526
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of an extended local scale stochastic volatility model |
scientific article; zbMATH DE number 6616526 |
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Bayesian estimation of an extended local scale stochastic volatility model (English)
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12 August 2016
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state space models
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Markov chain Monte Carlo
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simulation smoothing
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generalized error distribution
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generalized \(t\) distribution
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