Bayesian estimation of non-Gaussian stochastic volatility models
Year of publication: |
2014
|
---|---|
Authors: | Elabed, Asma Graja ; Masmoudi, Afif |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 2, p. 95-103
|
Subject: | Non-Gaussian Distribution | Stochastic Volatility | Laplace Density | Fat Tails | Kullback Leiber Divengence | Bayesian Analysis | MCMC Algorithm | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Bayes-Statistik | Bayesian inference | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Schätzung | Estimation | Algorithmus | Algorithm |
-
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan, (2021)
-
Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models
Barra, István, (2014)
-
High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha, (2020)
- More ...
-
Estimation risk modeling in portfolio selection : implicit approach implementation
Elabed, Asma Graja, (2012)
-
Estimation risk modeling in portfolio selection : implicit approach implementation
Elabed, Asma Graja, (2012)
-
Charfi, Sahar, (2019)
- More ...