Hierarchical modeling of irregularly spaced financial returns

DOI10.1002/STA4.692MaRDI QIDQ6962952zbMATH OpenFDO

Authors Sreeram Anantharaman, Nalini Ravishanker, Sumanta Basu

Publication date 8 July 2025

Published in Stat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/STA4.692

zbMATH Keywords

Hamiltonian Monte Carlostochastic volatility modelsBayesian frameworkautoregressive conditional duration modelsforecasting volatilitytransaction-level asset returns

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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