Implicit Estimation for the Stochastic Volatility Model

DOI10.1080/03610926.2012.668605zbMath1358.62030OpenAlexW2024118144MaRDI QIDQ5419350

Afif Masmoudi, Asma Graja, Aida Jarraya

Publication date: 6 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.668605

zbMATH Keywords

Bayesian analysisGibbsHeston modelstochastic volatility modelMarkov Chain Monte Carlo algorithmMetropolis Hastingsimplicit distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

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• Constrained Indirect Estimation
• Implicit Distributions and Estimation
• Some Comments on Hassairi et al.'s “Implicit Distributions and Estimation”