Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

Scandinavian Journal of Statistics

Volumn 38, Issue 1, 2011, Pages 1-22

  Jasra, Ajay ^a   Stephens, David A ^b   Doucet, Arnaud ^c   Tsagaris, Theodoros ^d  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b MCGILL UNIVERSITY   (Canada)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^d GSA Capital ^*  (United Kingdom)

Author keywords

Markov chain Monte Carlo; Sequential Monte Carlo; Stochastic volatility

Indexed keywords

EID: 79951530439     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2010.00723.x     Document Type: Article

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