Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises

DOI10.1016/j.na.2005.02.105zbMath1221.62051OpenAlexW2075769834MaRDI QIDQ1000005

Yong Zeng

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.105

zbMATH Keywords

counting processeshigh frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price ⋮ A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs

Cites Work

• Unnamed Item
• The Econometrics of Ultra-high-frequency Data
• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices

This page was built for publication: Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises