Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price
Publication:2492810
DOI10.1007/S11203-005-6103-8zbMath1089.62030OpenAlexW2079065705MaRDI QIDQ2492810
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
estimationmodel selectionfilteringBayesian statisticscounting processMarkov chain approximationprice clusteringprice discretenessultra high frequency data
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 (3)
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
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