Fitting and comparing stochastic volatility models through Monte Carlo simulations
Year of publication: |
2004-08-11
|
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Authors: | Bordignon, Silvano ; Raggi, Davide |
Institutions: | Society for Computational Economics - SCE |
Subject: | stochastic volatility | jumps processes | MCMC | particle filters | Bayes Factor |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2004 Number 219 |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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