A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Year of publication: |
1999
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Authors: | Watanabe, Toshiaki |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 14.1999, 2, p. 101-121
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Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Kapitaleinkommen | Capital income | Schätzung | Estimation | Japan |
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