Estimating Stochastic Volatility via Filtering for the Micromovement of Asset Prices
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Publication:5273706
DOI10.1109/TAC.2004.824478zbMath1366.91166OpenAlexW2130937899MaRDI QIDQ5273706
Publication date: 12 July 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.2004.824478
Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (7)
Encounters with Martingales in Statistics and Stochastic Optimization ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ Risk Minimization for a Filtering Micromovement Model of Asset Price ⋮ Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price ⋮ BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE ⋮ Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises ⋮ Matrices -- compensating the loss of anschauung
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