On the study of two models for integer-valued high-frequency data
DOI10.1007/978-3-319-54084-9_3zbMATH Open1364.62252OpenAlexW2609130997MaRDI QIDQ5267851FDOQ5267851
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
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Cites Work
- A Predictive Approach to Model Selection
- Weak convergence and optimal scaling of random walk Metropolis algorithms
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- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Optimal scaling for various Metropolis-Hastings algorithms.
- On adaptive Markov chain Monte Carlo algorithms
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Integer-valued Lévy processes and low latency financial econometrics
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