Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns

Mathematics

• Bayesian Learning 81%
• Stochastic Volatility 75%
• Learning 49%
• Jump 45%
• Filter 32%
• Particle Filter 26%
• Sequential Algorithm 24%
• Sequential Estimation 23%
• Estimation Algorithms 22%
• Synthetic Data 21%
• Bayesian Estimation 19%
• Markov Chain Monte Carlo 18%
• Evidence 15%
• Line 12%
• Simulation 11%
• Demonstrate 10%
• Performance 10%

Business & Economics

• Bayesian Learning 100%
• Variance gamma 80%
• Jump 63%
• Stochastic Volatility 60%
• Filter 28%
• Particle Filter 21%
• Bayesian Estimation 17%
• Markov Chain Monte Carlo 16%
• Particles 12%
• Inference 11%
• Simulation 9%
• Performance 5%

Engineering & Materials Science

• Markov chains 17%