On the Study of Two Models for Integer-Valued High-Frequency Data

DOI10.1007/978-3-319-54084-9_3zbMath1364.62252OpenAlexW2609130997MaRDI QIDQ5267851

Jim E. Griffin, Andrea Cremaschi

Publication date: 13 June 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54084-9_3

zbMATH Keywords

time seriesadaptive MCMChigh-frequency dataBayesian econometricsinteger-valued random variables

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Economic time series analysis (91B84)

Cites Work

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• Integer-valued Lévy processes and low latency financial econometrics
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• A Predictive Approach to Model Selection
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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