Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns (Q5374580)
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scientific article; zbMATH DE number 6936350
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| English | Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns |
scientific article; zbMATH DE number 6936350 |
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Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns (English)
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14 September 2018
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auxiliary particle filtering
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Bayesian learning
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sequential Monte Carlo
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stochastic volatility
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variance gamma
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