Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods.

Didit B. Nugroho Takayuki Morimoto

Published in: Comput. Stat. (2015)

Keyphrases

monte carlo
monte carlo simulation
monte carlo methods
point processes
markov chain
importance sampling
mathematical models
monte carlo method
probabilistic model
markov chain monte carlo
matrix inversion
density estimation
temporal difference
monte carlo tree search