SV model estimation based on Bayesian computation with empirical likelihood

MaRDI QIDQ5128372zbMATH OpenFDO

Authors Shuangyou Zhou, Xiyuan Qian

Publication date 27 October 2020

zbMATH Keywords

Bayesian computationempirical likelihoodstochastic volatility (SV) model

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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• scientific article; zbMATH DE number 2065158

Cited in

(1)

• An application of the ECF method and numerical integration in estimation of the stochastic volatility models

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