Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price

DOI10.1007/S11203-005-6103-8MaRDI QIDQ2492810zbMATH OpenOpenAlexFDO

Authors Yong Zeng

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

zbMATH Keywords

Bayesian statisticscounting processestimationfilteringMarkov chain approximationmodel selectionprice clusteringprice discretenessultra high frequency data

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• 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
• Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises
• Bayes Factors
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices
• The Econometrics of Ultra-high-frequency Data

Cited in

(12)

• 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
• Filtering with counting process observations and other factors: applications to bond price tick data
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• Filtering with marked point process observations via Poisson chaos expansion
• A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering
• scientific article; zbMATH DE number 2015393 (Why is no real title available?)
• A branching particle approximation to a filtering micromovement model of asset price
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data

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