scientific article; zbMATH DE number 1329177

MaRDI QIDQ4257550zbMATH OpenFDO

Authors Hans Boscher, Eva-Maria Fronk, Iris Pigeot-Kübler

Publication date 25 May 2000

zbMATH Keywords

fluctuation of financial assetsstochastic volatility

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Bayesian analysis of stochastic volatility models
• Markov chain Monte Carlo methods for stochastic volatility models.
• Bayesian analysis of stochastic volatility models
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• scientific article; zbMATH DE number 2065158

Cited in

(11)

• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
• McMC estimation of multiscale stochastic volatility models with applications
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• Inference for stochastic volatility models using time change transformations
• Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo
• Stochastic Volatility Estimation Using Markov Chain Simulation
• Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods
• scientific article; zbMATH DE number 5243763 (Why is no real title available?)
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
• Comparison of MCMC methods for estimating stochastic volatility models

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4257550)