BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
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Publication:4675834
DOI10.1142/S0219024905002883zbMath1100.91046OpenAlexW2027158222MaRDI QIDQ4675834
Michael A. Kouritzin, Yong Zeng
Publication date: 6 May 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905002883
model selectionBayes factorfilteringcounting processMarkov chain approximation methodprice clusteringTransaction data
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Cites Work
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- Weak limit theorems for stochastic integrals and stochastic differential equations
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- The Econometrics of Ultra-high-frequency Data
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
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