Estimation of Hyperbolic Diffusion Using Mcmc Method

Estimation of Hyperbolic Diffusion Using Mcmc Method

In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about...

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書目詳細資料
Main Authors:	TSE, Yiu Kuen, YU, Jun, CHANG, X. B.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2002
主題:	Markov Chain Monte Carlo Hyperbolic diffusion Milstein approximation ARCH Long Memory Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research_all/5 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1004&context=soe_research_all
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