Rejoinder to “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns” Reply to the discussions by Nalini Ravishanker and Refik Soyer

DOI10.1002/ASMB.2374zbMATH Open1396.62250OpenAlexW2884328128MaRDI QIDQ5374583FDOQ5374583

Nicholas G. Polson, Samir P. Warty, Hedibert F. Lopes

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.2374

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”

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