MCMC Methods for Continuous-Time Financial Econometrics-Reference-Cited by-同舟云学术

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MCMC Methods for Continuous-Time Financial Econometrics

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Johannes Michael S.,Polson Nick

Publisher

Elsevier BV

Reference90 articles.

1. Disentangling Jumps from Volatility, forthcoming;Yacine A�t-Sahalia;Journal of Financial Economics,2003

2. On the Markov chain simulation method for uniform combinatorial distributions and simulated annealing;David Aldous;Probability in Engineering Information Systems,1987

3. Probability Approximations via the Poisson Clumping Heuristic

4. Parametric and Nonparametric Volatility Measurement;Torben Andersen;Handbook of Financial Econometrics,2002

5. Efficient method of moments estimation of a stochastic volatility model;Torben Andersen;Journal of Econometrics,1999

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1. A Review of Bayesian Posterior Distribution Based on MCMC Methods;Communications in Computer and Information Science;2021

2. Stochastic volatility of the futures prices of emission allowances: A Bayesian approach;Physica A: Statistical Mechanics and its Applications;2017-01

3. Double-jump diffusion model for VIX: evidence from VVIX;Quantitative Finance;2016-07-21

4. Stochastic Volatility;Encyclopedia of Complexity and Systems Science;2015

5. Double-Jump Stochastic Volatility Model for VIX: Evidence from VVIX;SSRN Electronic Journal;2015

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