Nonparametric Bayesian volatility learning under microstructure noise
Journal article, 2023
State-space model
Inverse Gamma Markov chain
Microstructure noise
High frequency data
Gibbs sampler
Volatility
Forward Filtering Backward Simulation
Author
Shota Gugushvili
Wageningen University and Research
Frank van der Meulen
Vrije Universiteit Amsterdam
Moritz Schauer
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Peter Spreij
University of Amsterdam
Radboud University
Japanese Journal of Statistics and Data Science
25208764 (eISSN)
Vol. 6 1 551-571Subject Categories
Probability Theory and Statistics
DOI
10.1007/s42081-022-00185-9