Modeling the Dynamics of Transaction Prices on the NYSE in a Bayesian State-Space Filtering Framework

Peter J. Kempthorne; Arnout M. Eikeboom

Book Chapter

Modeling the Dynamics of Transaction Prices on the NYSE in a Bayesian State-Space Filtering Framework

Kempthorne P
Eikeboom A

Springer New York, (1992), 179-185

DOI: 10.1007/978-1-4612-2856-1_23

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Kempthorne, P. J., & Eikeboom, A. M. (1992). Modeling the Dynamics of Transaction Prices on the NYSE in a Bayesian State-Space Filtering Framework. In Computing Science and Statistics (pp. 179–185). Springer New York. https://doi.org/10.1007/978-1-4612-2856-1_23

Modeling the Dynamics of Transaction Prices on the NYSE in a Bayesian State-Space Filtering Framework

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