Details

Title

Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2015

Issue

No 1

Authors

Keywords

double exponential jump diffusion model ; Kou model ; Bernoulli jump-diffusion model ; MCMC methods ; latent variables

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

43-70

Publisher

Oddział PAN w Łodzi

Date

31.03.2015

Type

Artykuły / Articles

Identifier

DOI: 10.24425/cejeme.2015.119208 ; ISSN - 2080-0886, ISSN online - 2080-119X

Source

Central European Journal of Economic Modelling and Econometrics; 2015; No 1; 43-70
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