Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/j.jeconom.2005.07.007 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JECONOM.2005.07.007 / rank | |||
Normal rank | |||
Revision as of 15:33, 8 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility |
scientific article |
Statements
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (English)
0 references
2 May 2016
0 references
Bayesian inference
0 references
leverage effect
0 references
Lévy process
0 references
Markov chain Monte Carlo
0 references
risk premium
0 references
return jumps
0 references
stock price
0 references
superposition
0 references
volatility jumps
0 references
0 references
0 references
0 references
0 references
0 references
0 references
