Bayesian dynamic modeling of high-frequency integer price changes
István Barra, Agnieszka Borowska and Siem Jan Koopman
| Year of publication: |
2018
|
|---|---|
| Authors: | Barra, István ; Borowska, Agnieszka ; Koopman, Siem Jan |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 3, p. 384-424
|
| Subject: | Bayesian inference | discrete distributions | high-frequency dynamics | Markov chain Monte Carlo | stochastic volatility | Bayes-Statistik | Markov-Kette | Markov chain | Theorie | Theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987788