Sequential gibbs particle filter algorithm with applications to stochastic volatility and jumps estimation
Jiří Witzany, Milan Fičura
| Year of publication: |
2019
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|---|---|
| Authors: | Witzany, Jiří ; Fičura, Milan |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 69.2019, 5, p. 463-488
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| Subject: | Bayesian methods | MCMC | Particle filters | stochastic volatility | jumps | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Algorithmus | Algorithm | Zustandsraummodell | State space model |
| 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/10012170648