Publication:
Bayesian Filtering for Jump-Diffusions With Application to Stochastic Volatility (2009)
Author(s): Golightly A
- Date: 01-06-2009
- Journal: Journal of Computational and Graphical Statistics
- Volume: 18
- Issue: 2
- Pages: 384-400
- Publisher: American Statistical Association
- Publication type: Article
- Bibliographic status: Published
- URL: http://dx.doi.org/10.1198/jcgs.2009.07137
- DOI: 10.1198/jcgs.2009.07137
- ISSN (electronic): 1537-2715
Keywords: Jump component Markov chain Monte Carlo Particle filter Stochastic differential equation CHAIN MONTE-CARLO PARTICLE FILTERS SEQUENTIAL INFERENCE MODELS OPTIONS DISTRIBUTIONS IMPLICIT RISK
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Dr Andrew Golightly
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