Estimating stochastic volatility models using integrated nested Laplace approximations
Sara Martino, Kjersti Aas, Ola Lindqvist, Linda R. Neef and Håvard Rue
| Year of publication: |
2011
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|---|---|
| Authors: | Martino, Sara ; Aas, Kjersti ; Lindqvist, Ola ; Neef, Linda R. ; Rue, Håvard |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 17.2011, 7/8, p. 487-503
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| Subject: | approximate Bayesian inference | Laplace approximation | latent Gaussian models | stochastic volatility model | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory |
| 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/10009509861