Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
A. Ronald Gallant, George Tauchen
| Year of publication: |
2018
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|---|---|
| Authors: | Gallant, A. Ronald ; Tauchen, George Eugene |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 205.2018, 1, p. 140-155
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| Subject: | Activity index | Efficient method of moments | High-frequency data | Semimartingale | Specification test | Spot variance | Stochastic volatility | Volatilität | Volatility | Momentenmethode | Method of moments | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Induktive Statistik | Statistical inference | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012110246