Likelihood-based inference for a class of multivariate diffusions with unobserved paths

Journal of Statistical Planning and Inference

Volumn 137, Issue 10, 2007, Pages 3092-3102

  Kalogeropoulos, Konstantinos ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Data augmentation; Heston model; Markov chain Monte Carlo; Stochastic volatility

Indexed keywords

EID: 34250193275     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2006.05.017     Document Type: Article

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