KOURITZIN, MICHAEL A.; ZENG, YONG - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 97-121
This paper develops the Bayesian model selection based on Bayes factor for a rich class of partially-observed micro-movement models of asset price. We focus on one recursive algorithm to calculate the Bayes factors, first deriving the system of SDEs for them and then applying the Markov chain...