Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach

DOI10.1007/s11222-023-10341-0zbMath1529.62024OpenAlexW4388118067MaRDI QIDQ6190639

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Publication date: 6 February 2024

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-023-10341-0

zbMATH Keywords

high frequency dataBayesianmarket microstructure noiseintegrated volatilitymarket trading information

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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