Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (Q2228675)
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scientific article; zbMATH DE number 7313398
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| English | Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets |
scientific article; zbMATH DE number 7313398 |
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Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (English)
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19 February 2021
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market microstructure model
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heavy tails
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Student-\(t\) distribution
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a mixture of two normal distributions
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Markov chain Monte Carlo algorithm
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