Stochastic volatility with leverage : fast and efficient likelihood inference
Yasuhiro Omori, Siddhartha Chib, Neil Shephard, Jouchi Nakajima
| Year of publication: |
2007
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|---|---|
| Authors: | Omori, Yasuhiro ; Chib, Siddhartha ; Shephard, Neil G. ; Nakajima, Jouchi |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 140.2007, 2, p. 425-449
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| Subject: | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zustandsraummodell | State space model |
| Extent: | graph. Darst. |
|---|---|
| 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/10003569881