Stochastic volatility models as hidden Markov models and statistical applications
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Publication:5933570
DOI10.2307/3318471zbMath0966.62048OpenAlexW2060193840MaRDI QIDQ5933570
Thierry Jeantheau, Valentine Genon-Catalot, Catherine Larédo
Publication date: 17 August 2001
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1081194160
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)
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