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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2002
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| Subjects: | |
| Online Access: | 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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| Institution: | Singapore Management University |
| Language: | English |