This paper studies nonlinear behavior of high-frequency financial data and employs nonlinear hierarchical models for analyzing such data. We illustrate the analysis by modeling the transaction-bytransaction data of IBM stock on the New York Stock Exchange for a period of 3 months. The variables...

This paper investigates the performance of the predictive distributions of Bayesian models. To overcome the difficulty of evaluating the predictive likelihood, we introduce the concept of expected log-predictive likelihoods for Bayesian models, and propose an estimator of the expected...