High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
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Publication:6635564
DOI10.1214/24-EJS2280MaRDI QIDQ6635564FDOQ6635564
Authors: Weiqing Gao, Ben Wu, Bo Zhang
Publication date: 12 November 2024
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Bayesian inference (62F15) Stationary stochastic processes (60G10) General considerations in statistical decision theory (62C05)
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