Nonparametric Bayesian Volatility Learning Under Microstructure Noise
Year of publication: |
2018
|
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Authors: | Gugushvili, Shota ; van der Meulen, Frank ; Schauer, Moritz ; Spreij, Peter |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Bayes-Statistik | Bayesian inference | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Lernprozess | Learning process |
Extent: | 1 Online-Ressource (14 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 14, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3178606 [DOI] |
Classification: | C11 - Bayesian Analysis ; C13 - Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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