Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method

DOI10.1080/14697680400000020zbMath1409.62180OpenAlexW4238052026MaRDI QIDQ4610221

Yiu Kuen Tse, Xibin Zhang, Jun Yu

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/518

zbMATH Keywords

Bayesian methoddiscrete-time financial econometricshyperbolic diffusion model

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) Economic time series analysis (91B84)

Related Items (8)

Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density ⋮ A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density ⋮ A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation ⋮ A Bayesian approach to bandwidth selection for multivariate kernel density estimation ⋮ Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density ⋮ Sequential maximum likelihood estimation for the hyperbolic diffusion process ⋮ Comparison study to bandwidth selection in binomial kernel estimation using Bayesian approaches ⋮ Transient numerical approximation of hyperbolic diffusions and beyond

Uses Software

• BUGS

Cites Work

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