Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Markov Chain Monte Carlo Analysis of Option Pricing Models

We use the Markov Chain Monte Carlo (MCMC) method to investigate a large class of continuous-time option pricing models. These include: constant-volatility, stochastic volatility, price jump-diffusions and volatility jump-diffusions. Estimation of these models is difficult or impossible by usual statistical methods. Consequently, there is little consensus which model is best. We propose a new B...

متن کامل

Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods

In dynamic statistical modeling situations, observations arise sequentially, causing the model to expand by progressive incorporation of new data items and new unknown parameters. For example, in clinical monitoring, new patient-speci c parameters are introduced with each new patient. Markov chain Monte Carlo (MCMC) might be used for posterior inference, but would need to be redone at each expa...

متن کامل

Markov Chain Monte Carlo Random Testing

This paper proposes a software random testing scheme based on Markov chain Monte Carlo (MCMC) method. The significant issue of software testing is how to use the prior knowledge of experienced testers and the information obtained from the preceding test outcomes in making test cases. The concept of Markov chain Monte Carlo random testing (MCMCRT) is based on the Bayes approach to parametric mod...

متن کامل

Markov Chain Monte Carlo

Markov chain Monte Carlo is an umbrella term for algorithms that use Markov chains to sample from a given probability distribution. This paper is a brief examination of Markov chain Monte Carlo and its usage. We begin by discussing Markov chains and the ergodicity, convergence, and reversibility thereof before proceeding to a short overview of Markov chain Monte Carlo and the use of mixing time...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2005

ISSN: 1556-5068

DOI: 10.2139/ssrn.673501