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McMC estimation of multiscale stochastic volatility models with applications.

Chuan-Hsiang HanGerman MolinaJean-Pierre Fouque
Published in: Math. Comput. Simul. (2014)
Keyphrases
  • multiscale
  • model selection
  • markov chain monte carlo
  • computer vision
  • parameter estimation
  • statistical models
  • stock market
  • stochastic model
  • stochastic models
  • least squares
  • monte carlo
  • autoregressive