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

DOI10.1002/ASMB.2367zbMath1396.62247OpenAlexW2820578682MaRDI QIDQ5374582

Refik Soyer

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.2367

zbMATH Keywords

stochastic volatilityreturnssequential Bayesian learningvariance-gamma jumps

Mathematics Subject Classification ID

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

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