"Applied Econometrics using MATLAB", Chapter 6 Markov Chain Monte Carlo Models

的程序码应该是你需要的.

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[em01][em01]

2006.12.25. 补充一些有关MCMC文献

1."MCMC Based Estimation of Term Structure Models"_Mikkelsen P.(2001)

2."A Bayesian MCMC Algorithm for Markov Switching GARCH models"_(2004)

3.Bayesian Inference for Derivative Prices_(2003)

4."MCMC Methods for Financial Econometrics"_Michael Johannes (2002)

Chap 7 MCMC Inference in Equity Price Models

7.1 Geometric BrownianMotion

7.2 Option Pricing

7.3 Multivariate Jump-DiffusionModels

7.4 Stochastic VolatilityModels

7.5 Time-Varying Expected Returns

Chap 8 MCMC Inference in Term Structure Models

8.1 Vasicek’sModel

8.2 Cox, Ingersoll and Ross’s (1985) square root model

8.3 Vasicek with Jumps

8.4 Time-Varying Central Tendency

8.5 Regime Switching

[此贴子已经被作者于2006-12-25 8:40:33编辑过]

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