scientific article; zbMATH DE number 5494145
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Publication:5301786
zbMATH Open1162.91509MaRDI QIDQ5301786FDOQ5301786
Authors: Sylvia Frühwirth-Schnatter, L. Sögner 
Publication date: 20 January 2009
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Cited In (12)
- Mixed Gaussian Heston asset pricing model and statistics simulation analysis
- Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
- An analytic approximation of the likelihood function for the Heston model volatility estimation problem
- Stochastic volatility and the goodness-of-fit of the Heston model
- Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
- Bayesian estimation of an extended local scale stochastic volatility model
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
- Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Bayesian parameter inference for models of the Black and Scholes type
- Bayesian inference for Heston-STAR models
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