Block sampler and posterior mode estimation for asymmetric stochastic volatility models.
Yasuhiro OmoriToshiaki WatanabePublished in: Comput. Stat. Data Anal. (2008)
Keyphrases
- complex systems
- markov chain monte carlo methods
- probabilistic model
- parametric models
- parameter estimation
- monte carlo
- bayesian framework
- markov chain monte carlo
- stock market
- stochastic models
- posterior distribution
- video sequences
- random fields
- neural network
- hybrid model
- markov chain
- least squares
- stochastic model
- prior knowledge