Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

Journal of Econometrics

Volumn 134, Issue 2, 2006, Pages 605-644

  Griffin, J E ^a   Steel, M F J ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Bayesian inference; L vy process; Leverage effect; Markov chain Monte Carlo; Return jumps; Risk premium; Stock price; Superposition; Volatility jumps

Indexed keywords

FINANCIAL DATA PROCESSING; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; PROBLEM SOLVING; RISK ASSESSMENT;

BAYESIAN INFERENCE; LEVERAGE EFFECT; LEVY PROCESS; RETURN JUMPS; RISK PREMIUM; STOCK PRICE; SUPERPOSITION; VOLATILITY JUMPS;

STOCHASTIC PROGRAMMING;

EID: 33747878552     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.007     Document Type: Article

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