Random aggregation with applications in high‐frequency finance
Year of publication: |
2011
|
---|---|
Authors: | Tsay, Ruey S. ; Jin‐Huei Yeh |
Published in: |
Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 30.2011, 1, p. 72-103
|
Publisher: |
John Wiley & Sons, Ltd. |
Subject: | Gibbs sampling | intraday return | market microstructure | Markov chain Monte Carlo | missing value |
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