English, Article edition: BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE MICHAEL A. KOURITZIN; YONG ZENG

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Bookmark: http://trove.nla.gov.au/version/83430
Physical Description
  • article
Language
  • English

Edition details

Title
  • BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
Author
  • MICHAEL A. KOURITZIN
  • YONG ZENG
Physical Description
  • article
Notes
  • This paper develops the Bayesian model selection based on Bayes factor for a rich class of partially-observed micro-movement models of asset price. We focus on one recursive algorithm to calculate the Bayes factors, first deriving the system of SDEs for them and then applying the Markov chain approximation method to yield a recursive algorithm. We prove the consistency (or robustness) of the recursive algorithm. To illustrate the construction of such a recursive algorithm, we consider a model selection problem for two micro-movement models with and without stochastic volatility, and provide simulation and real-data examples to demonstrate the effectiveness of the Bayes factor in the model selection for this class of models.
  • Bayes factor, counting process, filtering, Markov chain approximation method, model selection, price clustering, Transaction data
  • RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:97-121
Language
  • English
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