Bayesian diffusion process models with time-varying parameters
DOI10.1016/j.jkss.2011.08.001zbMath1296.60214OpenAlexW2085045433MaRDI QIDQ744748
L. Mark Berliner, Yongku Kim, Suk-Bok Kang
Publication date: 26 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.08.001
Bayesian inferenceS\&P 500 stock indexdiscretely observed diffusion processprocess augmentationtime-varying parameter model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Diffusion processes (60J60)
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