Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian OrnsteinUhlenbeck processes

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2594-2608

  Griffin, J E ^a   Steel, M F J ^b  

^a UNIVERSITY OF KENT   (United Kingdom)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

BAYESIAN INFERENCE; EXCHANGE RATES; LEVERAGE EFFECTS; LONG MEMORY PROCESS; MARKOV CHAIN MONTE CARLO METHOD; MIXING DISTRIBUTIONS; NON-GAUSSIAN; ORNSTEIN-UHLENBECK PROCESS; STOCHASTIC VOLATILITY MODEL; STOCK INDICES; SUPERPOSITION MODEL; TWO-COMPONENT;

BAYESIAN NETWORKS; INFERENCE ENGINES; MARKOV PROCESSES; MONTE CARLO METHODS;

STOCHASTIC MODELS;

EID: 77955282710     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.06.008     Document Type: Article

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