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Volatility
Bayesian inference
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Volatilität
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stochastic volatility
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option pricing
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Pajor, Anna
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Wróblewska, Justyna
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Osiewalski, Jacek
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Central European journal of economic modelling and econometrics
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Eurasian economic review : a journal in applied macroeconomics and finance
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International journal of financial markets and derivatives
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Pajor, Anna
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 189-211
Persistent link: https://www.econbiz.de/10011742315
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2
VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
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3
On sensitivity of inference in Bayesian MSF-MGARCH models
Osiewalski, Jacek
;
Pajor, Anna
- In:
Central European journal of economic modelling and …
11
(
2019
)
3
,
pp. 173-197
Persistent link: https://www.econbiz.de/10012294603
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4
Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Eurasian economic review : a journal in applied …
12
(
2022
)
3
,
pp. 427-448
Persistent link: https://www.econbiz.de/10013431511
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