Return Dynamics when Persistence is Unobservable

DOI10.1111/1467-9965.00123zbMath1029.91044OpenAlexW2122469073MaRDI QIDQ2770982

Timothy C. Johnson

Publication date: 13 February 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00123

zbMATH Keywords

stochastic volatilityfilteringvariable persistence

Mathematics Subject Classification ID

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