Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Year of publication: |
2018
|
---|---|
Authors: | Gallant, A. Ronald ; Tauchen, George Eugene |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 205.2018, 1, p. 140-155
|
Subject: | Activity index | Efficient method of moments | High-frequency data | Semimartingale | Specification test | Spot variance | Stochastic volatility | Theorie | Theory | Volatilität | Volatility | Momentenmethode | Method of moments | Martingal | Martingale | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Statistischer Test | Statistical test | Induktive Statistik | Statistical inference | Börsenkurs | Share price |
-
Inference theory for volatility functional dependencies
Li, Jia, (2016)
-
Testing for non-correlation between price and volatility jumps
Jacod, Jean, (2017)
-
Data-driven jump detection thresholds for application in jump regressions
Davies, Robert, (2015)
- More ...
-
Cash flows discounted using a model-free SDF extracted under a yield curve prior
Gallant, A. Ronald, (2021)
-
Gallant, A. Ronald, (1990)
-
Gallant, A. Ronald, (1990)
- More ...