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Nuisance parameters in statistics of finance

✍ Scribed by J. R. Barra; O. Taramasco

Publisher
Springer US
Year
1994
Tongue
English
Weight
359 KB
Volume
68
Category
Article
ISSN
1573-8795

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Statistics in finance
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## Abstract This article considers Markov chain simulation and statistical analysis of high‐dimensional financial time series. In particular, we discuss Markov chain Monte Carlo methods, for example, Gibbs sampling and Metropolis‐Hasting algorithm, and multivariate volatility models with applicatio