Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250)
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scientific article; zbMATH DE number 6085395
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic volatility with leverage: fast and efficient likelihood inference |
scientific article; zbMATH DE number 6085395 |
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Stochastic volatility with leverage: fast and efficient likelihood inference (English)
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23 September 2012
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leverage effect
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Markov chain Monte Carlo
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mixture sampler
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stochastic volatility
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stock returns
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0.8798818588256836
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0.8648266792297363
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0.8602563738822937
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0.859923243522644
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