ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Year of publication: |
March 2015
|
---|---|
Authors: | Creel, Michael D. ; Kristensen, Dennis |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 31.2015, p. 85-108
|
Subject: | Approximate Bayesian Computation | Continuous-time processes | Filtering | Indirect inference | Jumps | Realized volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
-
Effects of jumps and small noise in high-frequency financial econometrics
Kunitomo, Naoto, (2017)
-
Kim, Donggyu, (2016)
-
Witzany, Jiří, (2019)
- More ...
-
Bayesian indirect inference and the ABC of GMM
Creel, Michael D., (2016)
-
Estimation of dynamic latent variable models using simulated non-parametric moments
Creel, Michael D., (2012)
-
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D., (2014)
- More ...