Bayesian estimation of dynamic asset pricing models with informative observations (Q1740278)
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scientific article; zbMATH DE number 7049025
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| default for all languages | No label defined |
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| English | Bayesian estimation of dynamic asset pricing models with informative observations |
scientific article; zbMATH DE number 7049025 |
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Bayesian estimation of dynamic asset pricing models with informative observations (English)
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30 April 2019
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non-affineness
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self-exciting jumps
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optimal proposal density
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auxiliary particle filter
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common random numbers
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sequential Monte Carlo sampler
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0.7522223591804504
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0.7322025895118713
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0.7245604395866394
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0.7201007008552551
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