Likelihood-based inference for correlated diffusions

DOI10.1002/cjs.10096zbMath1221.65027arXiv0711.1595OpenAlexW2139394682MaRDI QIDQ3019141

Petros Dellaportas, Konstantinos Kalogeropoulos, Gareth O. Roberts

Publication date: 27 July 2011

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.1595

Mathematics Subject Classification ID

Bayesian inference (62F15) Economic time series analysis (91B84) Inference from stochastic processes (62M99) Diffusion processes (60J60)

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Inference for stochastic volatility models using time change transformations, Sovereign risk in the Euro area: a multivariate stochastic process approach

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