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Exploring the optimal Transformation for Volatility

Stichwort:

Empirical Bayes, Box-Cox transformation, Bayes, Stochastic volatility, and Metropolis-Hastings algorithm

Schöpfer:

Volfson, Alexander

Advisor:

Nandram, Balgobin

Herausgeber:

Worcester Polytechnic Institute

Datum erstellt:

2010-04-29

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences