Bayesian Model Selection Via Filtering For A Class Of Micro-Movement Models Of Asset Price
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DOI: 10.1142/S0219024905002883
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Cited by:
- Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
- Kouritzin, Michael A., 2017. "Residual and stratified branching particle filters," Computational Statistics & Data Analysis, Elsevier, vol. 111(C), pages 145-165.
- Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
- Zhiqiang Li & Jie Xiong, 2015. "Stability of the filter with Poisson observations," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 293-313, October.
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Keywords
Bayes factor; counting process; filtering; Markov chain approximation method; model selection; price clustering; Transaction data;All these keywords.
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