We have developed Bayesian Markov chain Monte Carlo (MCMC) methods for inferences of continuous-time models with stochastic volatility and infinite-activity Lea

Bayesian analysis of complex models based on stochastic processes has in recent years become a growing area. This book provides a unified treatment of Bayesian

Time varying volatility is a characteristic of many financial series. An alternative to the popular ARCH framework is a Stochastic Volatility model which is har