Nonparametric Bayesian volatility learning under microstructure noise (Q6176240)
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scientific article; zbMATH DE number 7716672
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric Bayesian volatility learning under microstructure noise |
scientific article; zbMATH DE number 7716672 |
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Nonparametric Bayesian volatility learning under microstructure noise (English)
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25 July 2023
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forward filtering backward simulation
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Gibbs sampler
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high frequency data
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inverse gamma Markov chain
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microstructure noise
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state-space model
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volatility
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