Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise

DOI10.1214/20-EJS1794zbMath1459.62203arXiv1909.04853OpenAlexW3118949379MaRDI QIDQ2219235

José E. Figueroa-López, Todd A. Kuffner, Qi Wang

Publication date: 19 January 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.04853

zbMATH Keywords

Bernstein-von Mises theoremmicrostructure noiseItô semimartingalessemiparametric and high-frequency inference

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Bayesian inference (62F15) Generalizations of martingales (60G48)

Related Items (2)

Estimation of tempered stable Lévy models of infinite variation ⋮ Review of statistical approaches for modeling high-frequency trading data

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