Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
DOI10.1016/j.jeconom.2018.03.008zbMath1452.62605OpenAlexW2792015900MaRDI QIDQ1754515
A. Ronald Gallant, George Tauchen
Publication date: 31 May 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.008
stochastic volatilityhigh-frequency datasemimartingalespecification testefficient method of momentsspot varianceactivity index
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)
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