Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns (Q6574633)
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scientific article; zbMATH DE number 7883156
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| English | Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns |
scientific article; zbMATH DE number 7883156 |
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Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns (English)
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18 July 2024
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forward filtering and backward sampling
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integrated variance
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Kalman filtering
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state-space models
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