30 citations · 111 across the 14 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
stat.ME2012★ 2 cited
Nonparametric Bayesian methods for one-dimensional diffusion models
Harry van Zanten
In this paper we review recently developed methods for nonparametric Bayesian inference for one-dimensional diffusion models. We discuss different possible prior distributions, com…
stat.ME2009★ 1 cited
Nonparametric methods for volatility density estimation
Bert van Es, Peter Spreij, Harry van Zanten
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and re…