Fourier-Bayesian estimation of stochastic volatility models

Last update: Jun 20, 2022

Overview

fourier-bayesian-sv-estimation

Fourier-Bayesian estimation of stochastic volatility models

Code used to run the numerical examples of "Bayesian Approach for Parameter estimation of Continuous-Time Stochastic Volatility Models using FFourier Transform Methods" by Merkle, Saporito and Targino (Statistics & Probability Letters, Vol. 156, 2020). Available here https://www.sciencedirect.com/science/article/pii/S0167715219302469 and here https://arxiv.org/abs/1812.10556

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Fourier-Bayesian estimation of stochastic volatility models

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Overview

fourier-bayesian-sv-estimation

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