Open AccessBayesian Estimation of Time-Changed Default Intensity Models
Author(s) -
Michael B. Gordy,
Paweł J. Szerszeń
Publication year - 2015
Publication title -
finance and economics discussion series
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2015.002
Subject(s) - stochastic volatility , econometrics , volatility (finance) , bayesian probability , particle filter , markov chain monte carlo , series (stratigraphy) , mathematics , economics , statistics , kalman filter , paleontology , biology