Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Katja Ignatieva; Paulo Rodrigues; Norman Seeger
| Year of publication: |
2015
|
|---|---|
| Authors: | Ignatieva, Ekaterina ; Rodrigues, Paulo Jorge Maurício ; Seeger, Norman |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 1, p. 68-75
|
| Subject: | Bayesian inference | Deviance information criteria | Markov chain Monte Carlo | Stochastic volatility | Markov-Kette | Markov chain | Volatilität | Volatility | Bayes-Statistik | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Schätztheorie | Estimation theory | Aktienindex | Stock index | Kapitaleinkommen | Capital income |
| 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/10011389699