Work

Nonparametric Bayesian volatility learning under microstructure noise

Year: 2022

Type: article

Source: Japanese Journal of Statistics and Data Science

DOI: 10.1007/s42081-022-00185-9

Authors: Shota Gugushvili, Frank van der Meulen, Moritz Schauer, Peter Spreij

Institutions: Wageningen University & Research, Vrije Universiteit Amsterdam, Chalmers University of Technology, University of Gothenburg, Radboud University Nijmegen, University of Amsterdam

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

Funders: FP7 Ideas: European Research Council, HORIZON EUROPE European Research Council

Awards: Bayesian Statistics in Infinite Dimensions: TargetingPriors by Mathematical Analysis, G8997566743

OpenAlex ID: W2803855118

FWCI: 0.354

Cites: 38

Cited by: 5

Related to: 20