Nonparametric Bayesian volatility estimation

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Nonparametric Bayesian volatility estimation

30 January 2018

Frank van der Meulen

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Papers citing "Nonparametric Bayesian volatility estimation"

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Title
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors Denis Belomestny Frank van der Meulen Peter Spreij 13 0 0 12 May 2023
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations Denis Belomestny S. Gugushvili Moritz Schauer Peter Spreij 11 3 0 16 Nov 2020
Bayesian nonparametric estimation in the current status continuous mark model G. Jongbloed Frank van der Meulen L. Pang 61 1 0 23 Nov 2019
Nonparametric Bayesian volatility learning under microstructure noise S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 21 2 0 15 May 2018