Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility
Year of publication: |
2002-01-06
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Authors: | Griffin, James E. ; Steel, Mark F.J. |
Institutions: | EconWPA |
Subject: | Bayesian methods | Deposit spot rate | Levy process | Markov chain Monte Carlo | Stock price |
Extent: | application/pdf application/postscript |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - LaTeX; prepared on IBM PC - PC-TEX; to print on HP/PostScript (A4); pages: 33 ; figures: included 33 pages |
Classification: | C11 - Bayesian Analysis ; G0 - Financial Economics. General |
Source: |
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Griffin, Jim, (2008)
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