Bayesian Semiparametric Stochastic Volatility Modeling
Copyright policy )Bayesian Semiparametric Stochastic Volatility Modeling
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- McMaster University Canada
- University of Toronto Canada
- Federal Reserve Bank of Atlanta United States
Applications of statistics to actuarial sciences and financial mathematics, ddc:330, Bayesian inference, Dirichlet process mixture, MCMC, block sampler, Dirichlet process mixture prior, Econometric models ; Stochastic analysis, Bayesian nonparametrics, Markov chain Monte Carlo, Time series, auto-correlation, regression, etc. in statistics (GARCH), C14, mixture models, stochastic volatility, C53, Nonparametric estimation, C11, jel: jel:C22, jel: jel:C11
Applications of statistics to actuarial sciences and financial mathematics, ddc:330, Bayesian inference, Dirichlet process mixture, MCMC, block sampler, Dirichlet process mixture prior, Econometric models ; Stochastic analysis, Bayesian nonparametrics, Markov chain Monte Carlo, Time series, auto-correlation, regression, etc. in statistics (GARCH), C14, mixture models, stochastic volatility, C53, Nonparametric estimation, C11, jel: jel:C22, jel: jel:C11
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