most citedInference for stochastic volatility models using time change transformations

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q-fin.ST2007★ 1 cited

Likelihood-based inference for correlated diffusions

Konstantinos Kalogeropoulos, Petros Dellaportas, Gareth O. Roberts

We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting probl…