Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
DOI10.1016/J.NA.2004.07.052zbMATH Open1058.62094OpenAlexW2053047727MaRDI QIDQ707219FDOQ707219
Authors: Michael A. Kouritzin, Yong Zeng 
Publication date: 9 February 2005
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2004.07.052
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Cites Work
- Bayes Factors
- Title not available (Why is that?)
- Weak limit theorems for stochastic integrals and stochastic differential equations
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
- Convergence in distribution of conditional expectations
- Convergence results for conditional expectations
Cited In (6)
- Residual and stratified branching particle filters
- Microstructure models with short-term inertia and stochastic volatility
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
- A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
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