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- W3144055702 abstract "This paper discusses Bayesian inference for stochastic volatility models based on continuous superpositions of Ornstein-Uhlenbeck processes. These processes represent an alternative to the previously considered discrete superpositions. An interesting class of continuous superpositions is defined by a Gamma mixing distribution which can define long memory processes. We develop efficient Markov chain Monte Carlo methods which allow the estimation of such models with leverage effects. This model is compared with a two-component superposition on the daily Standard and Poor's 500 index from 1980 to 2000." @default.
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- W3144055702 date "2008-01-01" @default.
- W3144055702 modified "2023-10-18" @default.
- W3144055702 title "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes" @default.
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