Stochastic volatility models based on OU-Gamma time change : theory and estimation
Lancelot F. James, Gernot Müller, Zhiyuan Zhang
| 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 | Schätztheorie | Estimation theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1133427 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011894398