Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns

DOI10.1002/asmb.2258zbMath1396.62249OpenAlexW2720558311MaRDI QIDQ5374580

Samir P. Warty, Hedibert Freitas Lopes, Nicholas G. Polson

Publication date: 14 September 2018

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2258

zbMATH Keywords

stochastic volatilityBayesian learningsequential Monte Carlovariance gammaauxiliary particle filtering

Mathematics Subject Classification ID

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