Riemann manifold Langevin methods on stochastic volatility estimation

DOI10.1080/03610918.2016.1255972zbMath1383.62258arXiv1507.05079OpenAlexW2963524567MaRDI QIDQ3133063

Mauricio Zevallos, Loretta B. Gasco, Ricardo S. Ehlers

Publication date: 12 February 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.05079

zbMATH Keywords

Bayesian analysisMarkov chain Monte CarloMetropolis-Hastingsvalue at riskLangevin methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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