Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns (Q5374580)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6936350
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns |
scientific article; zbMATH DE number 6936350 |
Statements
Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns (English)
0 references
14 September 2018
0 references
auxiliary particle filtering
0 references
Bayesian learning
0 references
sequential Monte Carlo
0 references
stochastic volatility
0 references
variance gamma
0 references
0.7988430261611938
0 references
0.7939172387123108
0 references
0.7742545008659363
0 references
0.7686536908149719
0 references
0.767781138420105
0 references
