Bayesian option pricing using asymmetric GARCH models

By Luc Bauwens, M. Lubrano. 2002

73 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cca37e9656d84e3ca8d826424f1a1f0f27fd43b4

Citations in the corpus

• Bayesian Inference Methods for Univariate and Multivariate GARCH Models: A Survey (2014, unknown): “More articles using a Griddy-Gibbs sampling approach are by Bauwens & Lubrano (2002), who have modeled asymmetric volatility with Gaussian innovations and have used uniform priors for all the parameters, and by Wago (2004), who explored an asymmetric GARCH model with Student-t errors.”