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

DOI10.1007/s11203-005-6103-8zbMath1089.62030MaRDI QIDQ2492810

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

estimation; model selection; filtering; Bayesian statistics; counting process; Markov chain approximation; price clustering; price discreteness; ultra high frequency data

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

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
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• The Econometrics of Ultra-high-frequency Data
• Bayes Factors
• Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices