Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

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• 来源
  《Journal of business & economic statistics》 |2015年第1期|68-75|共8页
• 作者

  Katja Ignatieva; Paulo Rodrigues; Norman Seeger;

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• 作者单位

  School of Risk and Actuarial Studies, Australian School of Business, University of New South Wales Sydney, Sydney NSW 2052, Australia;

  Finance Department, Maastricht University, 6211 LM Maastricht, Netherlands;

  Finance Department, VU University Amsterdam, 1084 HV Amsterdam, Netherlands;

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• 收录信息
• 原文格式 PDF
• 正文语种 eng
• 中图分类
• 关键词

  Bayesian inference; Deviance information criteria; Markov chain Monte Carlo; Stochastic volatility;

  机译：贝叶斯推理;偏差信息标准;马尔可夫链蒙特卡洛;随机波动;