Maastricht, 6200 MD
Netherlands
Maastricht University - Department of Finance
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Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor
real estate index, repeat sales
Commercial real estate; Repeat sales; Index; London; New York
Economic growth, derivatives exchanges, empirical analysis, GMM estimation
Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility
stochastic volatility, out-of-sample, density forecasts, particle filter
Jump-diffusion models; individual stocks; Markov Chain Monte Carlo
Stochastic volatility, individual stocks, MCMC, volatility factors
Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile