Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Mark J. Jensen; John M. Maheu
| Year of publication: |
2014
|
|---|---|
| Authors: | Jensen, Mark J. ; Maheu, John M. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 523-538
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| Subject: | Bayesian nonparametrics | Dirichlet process mixture | Leverage effect | Stochastic volatility | Volatilität | Volatility | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model |
| 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/10010256874