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Adaptive MCMC methods for inference on affine stochastic volatility models with jumps

Raggi, Davide

Adaptive MCMC methods for inference on affine stochastic volatility models with jumps J5710 2005 - 2005 - 235-250 V. 08 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Adaptive MCMC;Auxiliary particle filter;Bayes factor;Junp diffusions;

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