Bayesian estimation and likelihood-based comparison of agent-based volatility models
Nils Bertschinger, Iurii Mozzhorin
| Year of publication: |
2021
|
|---|---|
| Authors: | Bertschinger, Nils ; Mozzhorin, Iurii |
| Subject: | Agent-based models | Stochastic volatility models | Bayesian estimation | Hamiltonian Monte Carlo | Volatilität | Volatility | Agentenbasierte Modellierung | Agent-based modeling | Bayes-Statistik | Bayesian inference | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11403-020-00289-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012428422