Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data (Q4970705): Difference between revisions
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Revision as of 19:14, 5 March 2024
scientific article; zbMATH DE number 7257129
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data |
scientific article; zbMATH DE number 7257129 |
Statements
Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data (English)
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7 October 2020
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intraday data
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marked point processes
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news arrival
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option pricing
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stochastic EM algorithm
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