Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price
From MaRDI portal
Publication:2492810
DOI10.1007/s11203-005-6103-8zbMath1089.62030OpenAlexW2079065705MaRDI QIDQ2492810
Publication date: 14 June 2006
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-005-6103-8
estimationmodel selectionfilteringBayesian statisticscounting processMarkov chain approximationprice clusteringprice discretenessultra high frequency data
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Filtering with marked point process observations via Poisson chaos expansion ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ Risk Minimization for a Filtering Micromovement Model of Asset Price
Cites Work
- Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises
- A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
- The Econometrics of Ultra-high-frequency Data
- Bayes Factors
- Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices
This page was built for publication: Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price
