Bayesian analysis of constant elasticity of variance models

DOI10.1002/ASMB.639MaRDI QIDQ5430339zbMATH OpenOpenAlexFDO

Authors Jennifer S. K. Chan, S. T. Boris Choy, Anna B. W. Lee

Publication date 16 December 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.639

zbMATH Keywords

Bayesian inferenceBrownian motionconstant elasticity of variance modelsGibbs sampler

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

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Cites work

• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 840151 (Why is no real title available?)

Cited in

(5)

• CEV model equipped with the long-memory
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods
• A new methodology to estimate constant elasticity of variance
• Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model
• PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices

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Uses Software

• WinBUGS

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