Fourier-Bayesian estimation of stochastic volatility models

Sep 12, 2021 1 min read

fourier-bayesian-sv-estimation

Code used to run the numerical examples of “Bayesian Approach for Parameter estimation of Continuous-Time Stochastic Volatility Models using FFourier Transform Methods” by Merkle, Saporito and Targino (Statistics & Probability Letters, Vol. 156, 2020). Available here https://www.sciencedirect.com/science/article/pii/S0167715219302469 and here https://arxiv.org/abs/1812.10556

GitHub

https://github.com/ysaporito/fourier-bayesian-sv-estimation

Models

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