Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law
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DOI: 10.1007/s10463-007-0130-8
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Cited by:
- Griffin, J.E. & Steel, M.F.J., 2010.
"Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2594-2608, November.
- Griffin, Jim & Steel, Mark F.J., 2008. "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," MPRA Paper 11071, University Library of Munich, Germany.
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Keywords
Data augmentation; Identification; Marked point processes; Markov chain Monte Carlo;All these keywords.
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