Bayesian estimation of non-Gaussian stochastic volatility models
Asma Graja Elabed, Afif Masmoudi
| 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 |
| 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://ebvufind01.dmz1.zbw.eu/10010380909