Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data

Statistical Modelling

Volumn 6, Issue 2, 2006, Pages 97-118

  Centanni, S ^a   Minozzo, M ^a  

^a UNIVERSITY OF PERUGIA   (Italy)

Author keywords

Intraday data; Marked point processes; News arrival; Option pricing; Stochastic EM algorithm

Indexed keywords

EID: 33746113715     PISSN: 1471082X     EISSN: 14770342     Source Type: Journal    
DOI: 10.1191/1471082X06st112oa     Document Type: Article

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