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20082023
most citedAdaptive Independent Sticky MCMC algorithms

23 citations · 38 across the 18 of their papers we have counts for

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stat.AP2014

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Roberto Casarin, Fabrizio Leisen, German Molina +1

We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set…