Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

DOI10.1002/ASMB.2350MaRDI QIDQ5374581zbMATH OpenOpenAlexFDO

Authors Nalini Ravishanker

Publication date 14 September 2018

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2350

zbMATH Keywords

stochastic volatilityreturnssequential Bayesian learningvariance-gamma jumps

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential estimation (62L12) Stochastic models in economics (91B70)

Cited in

(1)

• Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

This page was built for publication: Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5374581)