Bayesian inference for discretely sampled Markov processes with closed-form likelihood expansions

Journal of Financial Econometrics

Volumn 8, Issue 4, 2009, Pages 450-480

  Stramer, Osnat ^a   Bognar, Matthew ^a   Schneider, Paul ^b  

^a UNIVERSITY OF IOWA   (United States)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Bayesian inference; Closed form likelihood; Exchange algorithm; Jump diffusion process

Indexed keywords

EID: 77956270705     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbp027     Document Type: Article

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