MCMC analysis of diffusion models with application to finance
B Eraker - Journal of Business & Economic Statistics, 2001 - Taylor & Francis
… The proposed estimator is based on simulation-based inference through Markov-chain Monte Carlo (MCMC) methods. Such methods have proven to be particularly well suited for …
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… The proposed estimator is based on simulation-based inference through Markov-chain Monte Carlo (MCMC) methods. Such methods have proven to be particularly well suited for …