Browsing Statistics and Actuarial Science by Subject "Bayesian Inference"
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Computationally Efficient Multi-Asset Stochastic Volatility Modeling
(University of Waterloo, 2018-08-24)Stochastic volatility (SV) models are popular in financial modeling, because they capture the inherent uncertainty of the asset volatility. Since assets are observed to co-move together, multi-asset SV (mSV) models are ...