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~isPartOf:"MPRA Paper"
~isPartOf:"Journal of economic dynamics & control"
~person:"Kalogeropoulos, Konstantinos"
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Search: subject:"Monte Carlo"
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Markov chain Monte Carlo
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Cholesky Factorisation
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Imputation
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Multivariate CIR model
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Multivariate stochastic volatility
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Stochastic volatility
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Kalogeropoulos, Konstantinos
Calzolari, Giorgio
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Bianchi, Carlo
6
Halkos, George
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Kevork, Ilias
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Mishra, SK
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Barnett, William A.
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Kukenova, Madina
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Lahvicka, Jiri
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Monteiro, Jose-Antonio
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Panattoni, Lorenzo
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Abonazel, Mohamed R.
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Balakrishna, B S
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Berger, Tino
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Chan, Joshua
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Ciuiu, Daniel
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Corsi, Paolo
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Dellaportas, Petros
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Di Iorio, Francesca
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Dijk, Dick van
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Eo, Yunjong
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Everaert, Gerdie
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Fathi, Abid
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Joshi, Mark S.
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Klein, Torsten L.
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Kumara, Ajantha Sisira
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Morley, James C.
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Muntean, Cornelia
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Muntean, Mihaela
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Nader, Naifar
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Pfau, Wade Donald
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Roberts, Gareth O.
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Rossi, Eduardo
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Schneider, Judith Christiane
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Schweizer, Nikolaus
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Tancioni, Massimiliano
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Tang, Robert
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Tsionas, Efthymios G.
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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MPRA Paper
Journal of economic dynamics & control
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Likelihood-based inference for correlated diffusions
Kalogeropoulos, Konstantinos
;
Dellaportas, Petros
; …
-
Volkswirtschaftliche Fakultät, …
-
2007
We address the problem of likelihood based inference for correlated diffusion processes using Markov chain
Monte
Carlo
…
Persistent link: https://www.econbiz.de/10005836360
Saved in:
2
Inference for stochastic volatility model using time change transformations
Kalogeropoulos, Konstantinos
;
Roberts, Gareth O.
; …
-
Volkswirtschaftliche Fakultät, …
-
2007
Monte
Carlo
(MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations …
Persistent link: https://www.econbiz.de/10005616851
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