Seminars in Statistics
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Seminars in Statistics
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Seminars in Statistics Petros Dellaportas (University College London)
Seminars in Statistics Petros Dellaportas (University College London)
High dimensional jump processes with stochastic volatility We deal with the problem of identifying jumps in multiple financial time series using the stochastic volatility model combined with a jump process. We develop efficient MCMC algorithms to perform Bayesian inference for the parameters and the latent states of the proposed models. In the univariate case we…