On the study of two models for integer-valued high-frequency data

DOI10.1007/978-3-319-54084-9_3MaRDI QIDQ5267851zbMATH OpenOpenAlexFDO

Authors Andrea Cremaschi, J. E. Griffin

Publication date 13 June 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-54084-9_3

zbMATH Keywords

time seriesadaptive MCMChigh-frequency dataBayesian econometricsinteger-valued random variables

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• A Predictive Approach to Model Selection
• Integer-valued Lévy processes and low latency financial econometrics
• On adaptive Markov chain Monte Carlo algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(4)

• Modeling price clustering in high-frequency prices
• A bivariate integer-valued long-memory model for high-frequency financial count data
• Integer-valued Lévy processes and low latency financial econometrics
• Fractional Skellam processes with applications to finance

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