Nonparametric Bayesian volatility learning under microstructure noise (Q6176240)
From MaRDI portal
scientific article; zbMATH DE number 7716672
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric Bayesian volatility learning under microstructure noise |
scientific article; zbMATH DE number 7716672 |
Statements
Nonparametric Bayesian volatility learning under microstructure noise (English)
0 references
25 July 2023
0 references
forward filtering backward simulation
0 references
Gibbs sampler
0 references
high frequency data
0 references
inverse gamma Markov chain
0 references
microstructure noise
0 references
state-space model
0 references
volatility
0 references
