Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data (Q4970705)
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scientific article; zbMATH DE number 7257129
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| English | Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data |
scientific article; zbMATH DE number 7257129 |
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Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data (English)
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7 October 2020
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intraday data
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marked point processes
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news arrival
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option pricing
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stochastic EM algorithm
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