A new variant of estimation approach to asymmetric stochastic volatility model
Zhongxian Men and Tony S. Wirjanto
| Year of publication: |
2018
|
|---|---|
| Authors: | Men, Zhongxian ; Wirjanto, Tony S. |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 2.2018, 2, p. 325-347
|
| Subject: | stochastic volatility | leverage effect | Bayesian inference | acceptance-rejection | Metropolis-Hastings | slice sampler | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Bayes-Statistik | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
freely available