A comparative study of two models SV with MCMC algorithm

Ahmed Hachicha (), Fatma Hachicha () and Afif Masmoudi ()

Review of Quantitative Finance and Accounting, 2012, vol. 38, issue 4, 479-493

Keywords: Autoregression; MCMC; Stochastic volatility; Student’s t-distribution; SVOL; C11; C15; C22; G12 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11156-011-0236-1

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