Stochastic volatility models based on OU-Gamma time change : theory and estimation
Year of publication: |
January 2018
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Authors: | James, Lancelot F. ; Müller, Gernot ; Zhang, Zhiyuan |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 1, p. 75-87
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Subject: | Dirichlet mean functional | Dirichlet process | Generalized Gamma Convolution | Particle marginal Metropolis-Hastings | Sequential Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Schätztheorie | Estimation theory |
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