A Fast and Efficient Markov Chain Monte Carlo Method for Market Microstructure Model
The non-linear market microstructure (MM) model for financial time series modeling is a flexible stochastic volatility model with demand surplus and market liquidity. The estimation of the model is difficult, since the unobservable surplus demand is a time-varying stochastic variable in the return e...
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Hindawi Limited
2021
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/8e2176ccfc2041a78ce45574ec6054ce |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|