Nonparametric Bayesian volatility learning under microstructure noise (Q6176240): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Julia: A Fresh Approach to Numerical Computing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interest rate models -- theory and practice. With smile, inflation and credit / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate Gamma Markov Random Fields for Modelling Nonstationary Sources / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4328415 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Term-structure models. A graduate course / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fundamentals of Nonparametric Bayesian Inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian wavelet de-noising with the caravan prior / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Bayesian volatility learning under microstructure noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive wavelet estimation of the diffusion coefficient under additive error measurements / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the diffusion coefficient function for a diversified world stock index / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure noise in the continuous case: the pre-averaging approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spot volatility estimation using delta sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian nonparametric inference -- why and how / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian nonparametric data analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale methods in financial modelling. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference for Continuous Semimartingales Observed at High Frequency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4913195 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Linear Models with R / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic equivalence for inference on the volatility from noisy observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4727203 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Calculation of Posterior Distributions by Data Augmentation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov chains for exploring posterior distributions. (With discussion) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank

Revision as of 10:00, 2 August 2024

scientific article; zbMATH DE number 7716672
Language Label Description Also known as
English
Nonparametric Bayesian volatility learning under microstructure noise
scientific article; zbMATH DE number 7716672

    Statements

    Nonparametric Bayesian volatility learning under microstructure noise (English)
    0 references
    0 references
    0 references
    0 references
    25 July 2023
    0 references
    forward filtering backward simulation
    0 references
    Gibbs sampler
    0 references
    high frequency data
    0 references
    inverse gamma Markov chain
    0 references
    microstructure noise
    0 references
    state-space model
    0 references
    volatility
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references