BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
Year of publication: |
2005
|
---|---|
Authors: | KOURITZIN, MICHAEL A. ; ZENG, YONG |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 01, p. 97-121
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Bayes factor | counting process | filtering | Markov chain approximation method | model selection | price clustering | Transaction data |
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