Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns-Reference-Cited by-同舟云学术

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Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns

Published:2019-07-30 Issue:5 Volume:35 Page:1282-1297
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Peluso Stefano¹²^ORCID,Mira Antonietta²³,Muliere Pietro⁴

Affiliation:

1. Department of Statistical SciencesUniversità Cattolica del Sacro Cuore Milan Italy

2. Data Science Lab, Institute of Computational ScienceUniversità della Svizzera italiana Lugano Switzerland

3. Department of Science and High Technology Università dell'Insubria Varese Italy

4. Department of Decision Sciences Bocconi University of Milan Milan Italy

Funder

Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2476

Reference62 articles.

1. A New Approach to Linear Filtering and Prediction Problems

2. DATA AUGMENTATION AND DYNAMIC LINEAR MODELS

3. On Gibbs sampling for state space models

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1. A Bayesian semiparametric vector Multiplicative Error Model;Computational Statistics & Data Analysis;2021-09

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