Bayesian estimation of asymmetric jump-diffusion processes
Samuel J. Frame; Cyrus A. Ramezani
| Year of publication: |
2014
|
|---|---|
| Authors: | Frame, Samuel J. ; Ramezani, Cyrus A. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 3, p. 1-29
|
| Subject: | Asset price processes | affine jump-diffusion | double exponential jump-diffusion | Markov chain Monte Carlo | Bayesian econometrics | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | CAPM | Volatilität | Volatility | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010512597