Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods (Q2354744)
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scientific article; zbMATH DE number 6464079
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| English | Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods |
scientific article; zbMATH DE number 6464079 |
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Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods (English)
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24 July 2015
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realized stochastic volatility model
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Hamiltonian Monte Carlo
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inefficiency factor
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0.9275501
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0.92750275
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0.9227636
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0.9152392
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0.9084679
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