Julia code for nonparametric Bayesian volatility learning under microstructure noise

Shota Gugushvili; Frank van der Meulen; Moritz Schauer; Peter Spreij

doi:10.5281/zenodo.6801410

Julia code for nonparametric Bayesian volatility learning under microstructure noise

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

Mathematical and Statistical Methods - Biometris

Research output: Non-textual form › Software

Original language	English
Publisher	Wageningen University & Research
Media of output	Online
DOIs	https://doi.org/10.5281/zenodo.6801410
Publication status	Published - 6 Jul 2022

Keywords

Forward Filtering Backward Simulation
Gibbs sampler
High frequency data
Microstructure noise
State-space model
Inverse Gamma Markov chain
Volatility

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10.5281/zenodo.6801410Licence: CC BY

1 Article

Nonparametric Bayesian volatility learning under microstructure noise
Gugushvili, S., van der Meulen, F., Schauer, M. & Spreij, P., Jun 2023, In: Japanese Journal of Statistics and Data Science. 6, 1, p. 551-571
Research output: Contribution to journal › Article › Academic › peer-review

Open Access

Cite this

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title = "Julia code for nonparametric Bayesian volatility learning under microstructure noise",

keywords = "Forward Filtering Backward Simulation, Gibbs sampler, High frequency data, Microstructure noise, State-space model, Inverse Gamma Markov chain, Volatility",

author = "Shota Gugushvili and {van der Meulen}, Frank and Moritz Schauer and Peter Spreij",

year = "2022",

month = jul,

day = "6",

doi = "10.5281/zenodo.6801410",

language = "English",

publisher = "Wageningen University & Research",

address = "Netherlands",

}

TY - ADVS

T1 - Julia code for nonparametric Bayesian volatility learning under microstructure noise

AU - Gugushvili, Shota

AU - van der Meulen, Frank

AU - Schauer, Moritz

AU - Spreij, Peter

PY - 2022/7/6

Y1 - 2022/7/6

KW - Forward Filtering Backward Simulation

KW - Gibbs sampler

KW - High frequency data

KW - Microstructure noise

KW - State-space model

KW - Inverse Gamma Markov chain

KW - Volatility

U2 - 10.5281/zenodo.6801410

DO - 10.5281/zenodo.6801410

M3 - Software

PB - Wageningen University & Research

ER -

Julia code for nonparametric Bayesian volatility learning under microstructure noise

Keywords

Access to Document

Research output

Nonparametric Bayesian volatility learning under microstructure noise

Cite this