Inference for Levy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
We investigate simulation methodology for Bayesian inference in Lévy-driven stochastic volatility (SV) models. Typically, Bayesian inference from such models is performed using Markov chain Monte Carlo (MCMC); this is often a challenging task. Sequential Monte Carlo (SMC) samplers are methods that c...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2011
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