Return dynamics when persistence is unobservable

DOI10.1111/1467-9965.00123MaRDI QIDQ2770982zbMATH OpenOpenAlexFDO

Authors 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

filteringstochastic volatilityvariable persistence

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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