Filtering a nonlinear stochastic volatility model (Q437251): Difference between revisions

@@ Property / DOI @@
-.1007/s11071-011-0069-4
@@ Property / DOI: 10.1007/s11071-011-0069-4 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+N40
@@ Property / Mathematics Subject Classification ID: 37N40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / zbMATH DE Number @@
+6057883
@@ Property / zbMATH DE Number: 6057883 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nonlinear dynamical system
@@ Property / zbMATH Keywords: nonlinear dynamical system / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+economic cycles
@@ Property / zbMATH Keywords: economic cycles / rank @@
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@@ Property / zbMATH Keywords @@
+nonlinear filters
@@ Property / zbMATH Keywords: nonlinear filters / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+change of measures
@@ Property / zbMATH Keywords: change of measures / rank @@
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@@ Property / zbMATH Keywords @@
+reference probability
@@ Property / zbMATH Keywords: reference probability / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11071-011-0069-4
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+W2098173217
@@ Property / OpenAlex ID: W2098173217 / rank @@
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@@ Property / cites work @@
+Cubature Kalman smoothers
@@ Property / cites work: Cubature Kalman smoothers / rank @@
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@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Model with Filtering
@@ Property / cites work: Stochastic Volatility Model with Filtering / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear Filter Estimation of Volatility
@@ Property / cites work: Nonlinear Filter Estimation of Volatility / rank @@
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q3374314
@@ Property / cites work: Q3374314 / rank @@
+Normal rank
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+Q3374319
@@ Property / cites work: Q3374319 / rank @@
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@@ Property / cites work @@
+The Price Variability-Volume Relationship on Speculative Markets
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+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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@@ Property / cites work @@
+Q3592366
@@ Property / cites work: Q3592366 / rank @@
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@@ Property / DOI @@
+.1007/S11071-011-0069-4
@@ Property / DOI: 10.1007/S11071-011-0069-4 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:437251