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MCMC convergence diagnostics : a "reviewww"

Guihenneuc-Jouhaux, Chantal; Mengersen, Kerrie; Robert, … - 1998

Persistent link: https://www.econbiz.de/10000986962

Options: a Monte Carlo approach

Boyle, Phelim P. - In: Options : classic approaches to pricing and modelling, (pp. 233-248). 1999

Persistent link: https://www.econbiz.de/10001772457

A pricing method for options based on average asset values

Kemna, A. G. Z.; Vorst, Ton - In: Options : classic approaches to pricing and modelling, (pp. 345-360). 1999

Persistent link: https://www.econbiz.de/10001772465

Tests for unit roots : a Monte Carlo investigation

Schwert, George William - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 5-17

Persistent link: https://www.econbiz.de/10001639864

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...