Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198): Difference between revisions
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Bayesian inference | |||
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leverage effect | |||
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Lévy process | |||
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Markov chain Monte Carlo | |||
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risk premium | |||
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return jumps | |||
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stock price | |||
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superposition | |||
| Property / zbMATH Keywords: superposition / rank | |||
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volatility jumps | |||
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Revision as of 16:58, 27 June 2023
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)
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2 May 2016
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Bayesian inference
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leverage effect
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Lévy process
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Markov chain Monte Carlo
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risk premium
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return jumps
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stock price
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superposition
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volatility jumps
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