Bayesian testing for jumps in stochastic volatility models with correlated jumps
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Publication:5247227
DOI10.1080/14697688.2014.916412zbMATH Open1397.62442OpenAlexW2002657571MaRDI QIDQ5247227FDOQ5247227
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.916412
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Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Markov chain Monte Carlo methods for stochastic volatility models.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- BUGS for a Bayesian analysis of stochastic volatility models
- Bayesian hypothesis testing in latent variable models
- A new approach to Bayesian hypothesis testing
Cited In (3)
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