Nonlinear Filter Estimation of Volatility
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Publication:3580107
DOI10.1080/07362994.2010.482841zbMath1194.62111OpenAlexW2098124852MaRDI QIDQ3580107
Jorge Valencia, Robert J. Elliott, John van der Hoek
Publication date: 11 August 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2010.482841
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Related Items (3)
Filtering a nonlinear stochastic volatility model ⋮ On filtering and estimation of a threshold stochastic volatility model ⋮ Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
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