A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering

DOI10.1214/074921708000000345zbMath1175.91197OpenAlexW1585584809MaRDI QIDQ3626703

Laurie C. Scott, Yong Zeng

Publication date: 22 May 2009

Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/074921708000000345

zbMATH Keywords

filteringBayesian inferencecounting processasset pricemultivariate micromovement model

Mathematics Subject Classification ID

Related Items (3)

Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection

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