Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law

DOI10.1007/s10463-007-0130-8zbMath1294.62184MaRDI QIDQ734413

Leopold Sögner, Sylvia Frühwirth-Schnatter

Publication date: 13 October 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-007-0130-8

zbMATH Keywords

identification; Markov chain Monte Carlo; marked point processes; data augmentation

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

65C05: Monte Carlo methods

91B70: Stochastic models in economics

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes, Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures

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