Bayesian Inference via Filtering for a Class of Counting Processes: Application to the Micromovement of Asset Price
Year of publication: |
2005
|
---|---|
Authors: | Zeng, Yong |
Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 8.2005, 3, p. 331-354
|
Publisher: |
Springer |
Subject: | Bayesian statistics | counting process | estimation | filtering | Markov chain approximation | model selection | price clustering | price discreteness | ultra high frequency data |
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