A branching particle approximation to a filtering micromovement model of asset price
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Cites work
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1500585 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- A Tale of Two Time Scales
- A central limit type theorem for a class of particle filters
- A filtering approach to tracking volatility from prices observed at random times
- A particle approximation of the solution of the Kushner-Stratonovitch equation
- A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
- Are volatility estimators robust with respect to modeling assumptions?
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price
- Central limit theorem for nonlinear filtering and interacting particle systems
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Convergence of a Branching Particle Method to the Solution of the Zakai Equation
- Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
- How often to sample a continuous-time process in the presence of market microstructure noise
- Interacting particle systems approximations of the Kushner-Stratonovitch equation
- Large deviations for interacting particle systems: Applications to non-linear filtering
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Particle approximations for a class of stochastic partial differential equations
- Particle representations for a class of nonlinear SPDEs
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Risk Minimization for a Filtering Micromovement Model of Asset Price
- The Econometrics of Ultra-high-frequency Data
- Tightness problem and stochastic evolution equation arising from fluctuation phenomena for interacting diffusions
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