BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE (Q4675834): Difference between revisions

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+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
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+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
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+Q5726065
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+Weak limit theorems for stochastic integrals and stochastic differential equations
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+A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
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+Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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+https://doi.org/10.1142/s0219024905002883
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+W2027158222
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+Publication:4675834