Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data

DOI10.1191/1471082X06st112oaMaRDI QIDQ4970705

Silvia Centanni, Marco Minozzo

Publication date: 7 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

zbMATH Keywords

option pricingmarked point processesstochastic EM algorithmintraday datanews arrival

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

A micro-level claim count model with overdispersion and reporting delays ⋮ Inference for a class of partially observed point process models ⋮ Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers ⋮ Optimal state estimation of a generalized MAP event flow with an arbitrary number of states ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ Bayesian Conditional Density Filtering

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