Nonparametric Bayesian volatility learning under microstructure noise

Fuente: arXiv

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Bibliographic Details
Main Authors:	Gugushvili, Shota, van der Meulen, Frank, Schauer, Moritz, Spreij, Peter
Format:	Preprint
Published:	2018
Subjects:	Methodology Statistical Finance Machine Learning Primary: 62G20, Secondary: 62M05
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/1805.05606