Nonparametric Bayesian volatility estimation
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Cited by:
- Geurt Jongbloed & Frank H. van der Meulen & Lixue Pang, 2022. "Bayesian nonparametric estimation in the current status continuous mark model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1329-1352, September.
- Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility learning under microstructure noise," Papers 1805.05606, arXiv.org, revised Mar 2024.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-06-11 (Econometrics)
- NEP-ETS-2018-06-11 (Econometric Time Series)
- NEP-RMG-2018-06-11 (Risk Management)
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