Bayesian inference for Heston-STAR models
DOI10.1007/s11222-015-9625-yzbMath1505.62388OpenAlexW2315417698MaRDI QIDQ518236
Xiaoyu Shen, Osnat Stramer, Matthew A. Bognar
Publication date: 28 March 2017
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-015-9625-y
Bayesian inferencedata augmentationHeston modelstochastic volatility modelsmooth transition autoregressive (STAR) model
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic models in economics (91B70)
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