Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Catherine S. Forbes, Gael M. Martin and Jill Wright
| Year of publication: |
2003
|
|---|---|
| Authors: | Forbes, Catherine Scipione ; Martin, Gael M. ; Wright, Jill |
| Publisher: |
[Clayton, Victoria] |
| Subject: | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette |
| Extent: | 48 S graph. Darst |
|---|---|
| Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ISSN 1440-771X, ZDB-ID 2135381-5. - Vol. 2003,17 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Forschungsbericht ; Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2003/wp17-03.pdf |
| Classification: | Mathematische Statistik ; Methoden und Techniken der Volkswirtschaft |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001854495