Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
Year of publication: |
2016
|
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Authors: | Barra, Istvan ; Koopman, Siem Jan |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Bayesian inference | discrete distributions | high-frequency dynamics | Markov chain Monte Carlo | stochastic volatility |
Series: | Tinbergen Institute Discussion Paper ; 16-028/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 857741233 [GVK] hdl:10419/145335 [Handle] RePEc:tin:wpaper:20160028 [RePEc] |
Classification: | C22 - Time-Series Models ; c58 |
Source: |
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