MCMC analysis of diffusion models with application to finance

Journal of Business and Economic Statistics

Volumn 19, Issue 2, 2001, Pages 177-191

  Eraker, Bjørn ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Bayesian analysis; Diffusion process; Gibbs sampler; Markov chain Monte Carlo; Stochastic volatility

Indexed keywords

EID: 0035586814     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500101316970403     Document Type: Article

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