Comparing stochastic volatility models through Monte Carlo simulations (Q959262)
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scientific article; zbMATH DE number 5381648
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| English | Comparing stochastic volatility models through Monte Carlo simulations |
scientific article; zbMATH DE number 5381648 |
Statements
Comparing stochastic volatility models through Monte Carlo simulations (English)
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11 December 2008
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jump diffusion
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stochastic volatility
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MCMC
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particle filters
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Bayes factor
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VaR
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0.847933828830719
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0.8479335904121399
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0.845973014831543
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0.836008608341217
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0.8230652213096619
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