Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Nianling Wang, Zhusheng Lou
| Year of publication: |
2023
|
|---|---|
| Authors: | Wang, Nianling ; Lou, Zhusheng |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 123.2023, p. 1-10
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| Subject: | Particle Markov chain Monte Carlo | Sequential Monte Carlo | Spline | Stochastic volatility model | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106287 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462582