Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price

DOI10.1007/s11203-005-6103-8zbMath1089.62030OpenAlexW2079065705MaRDI QIDQ2492810

Yong Zeng

Publication date: 14 June 2006

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-005-6103-8

zbMATH Keywords

estimationmodel selectionfilteringBayesian statisticscounting processMarkov chain approximationprice clusteringprice discretenessultra high frequency data

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Filtering with marked point process observations via Poisson chaos expansion, A branching particle approximation to a filtering micromovement model of asset price, Risk Minimization for a Filtering Micromovement Model of Asset Price

Cites Work

• Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises
• A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• The Econometrics of Ultra-high-frequency Data
• Bayes Factors
• Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices