Riemann manifold Langevin methods on stochastic volatility estimation (Q3133063)
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scientific article; zbMATH DE number 6837399
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| English | Riemann manifold Langevin methods on stochastic volatility estimation |
scientific article; zbMATH DE number 6837399 |
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Riemann manifold Langevin methods on stochastic volatility estimation (English)
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12 February 2018
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Bayesian analysis
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Langevin methods
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Markov chain Monte Carlo
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Metropolis-Hastings
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value at risk
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0.7895247936248779
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0.7863301634788513
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0.779719352722168
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0.7737781405448914
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