Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
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Publication:6190639
DOI10.1007/s11222-023-10341-0zbMath1529.62024OpenAlexW4388118067MaRDI QIDQ6190639
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Publication date: 6 February 2024
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-023-10341-0
high frequency dataBayesianmarket microstructure noiseintegrated volatilitymarket trading information
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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