Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
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Publication:2219235
DOI10.1214/20-EJS1794zbMath1459.62203arXiv1909.04853MaRDI QIDQ2219235
José E. Figueroa-López, Todd A. Kuffner, Qi Wang
Publication date: 19 January 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.04853
Bernstein-von Mises theorem; microstructure noise; Itô semimartingales; semiparametric and high-frequency inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M09: Non-Markovian processes: estimation
62F15: Bayesian inference
60G48: Generalizations of martingales
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