Stochastic volatility models with heavy-tailed distributions :
a Bayesian analysis /
Toshiaki Wantanabe and Manabu Asai

Description

Main Author

Watabe, Toshiaki, 1963-

Related Names

Asai, Manabu
Nihon Ginkō. Kinʼyū Kenkyūjo

Language(s)

English

Published

Tokyo, Japan : Institute for Monetary and Economic Studies, Bank of Japan, [2001]

Subjects

Stocks > Stocks / Prices > Stocks / Prices / Mathematical models
Distribution (Probability theory)
Monte Carlo method
Bayesian statistical decision theory
Markov processes
Rate of return > Rate of return / Econometric models
Stock price forecasting

Physical Description

36, [16] p. : ill. ; 30 cm

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