Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law
| Year of publication: |
2009
|
|---|---|
| Authors: | Frühwirth-Schnatter, Sylvia ; Sögner, Leopold |
| Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 61.2009, 1, p. 159-179
|
| Publisher: |
Springer |
| Subject: | Data augmentation | Identification | Marked point processes | Markov chain Monte Carlo |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005616142