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

DOI10.1002/ASMB.2367MaRDI QIDQ5374582zbMATH OpenOpenAlexFDO

Authors 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

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

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