Dear BUGS users,
I am trying to simulate gamma Ornstein Uhlenbeck Process for stochastic
volatility which is given in Ole E. Barndorff-Nielsen and Neil Shepherd
(2001)paper " Non-Gausian Ornstein Uhlenbeck based Models and some of
their uses in Financial Economics".
In this the i need the N(1) as stochastic node having poisson distribution.
is there any winbugs code for the simulation of Levy process?
Appreciate any response.
Thanks in advance
Anil Gupta
Senior Graduate Student
IIT Bombay.
www.iitb.ac.in
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