Bayesian semi-parametric estimation of compound inhomogeneous Poisson processes for ultra-high frequency financial transaction data
Author:
Affiliation:
1. Zurich Insurance Company Ltd, Tokyo, Japan
2. Ross School of Business, University of Michigan, Ann Arbor, MI, USA
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/10485252.2024.2324290
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4. Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics;Barndorff-Nielsen O.E.;Journal of the Royal Statistical Society, Series B,2001
5. Impact of Jumps on Returns and Realized Variances: Econometric Analysis of Time-Deformed Lévy Processes;Barndorff-Nielsen O.E.;Journal of Econometrics,2006
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