Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
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Publication:5703228
DOI10.1111/j.1368-423X.2005.00162.xzbMath1073.62095MaRDI QIDQ5703228
Publication date: 8 November 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (3)
Value at risk estimation under stochastic volatility models using adaptive PMCMC methods ⋮ Application in stochastic volatility models of nonlinear regression with stochastic design ⋮ Scaling analysis of delayed rejection MCMC methods
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Cites Work
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