A branching particle approximation to a filtering micromovement model of asset price
| Year of publication: |
2011
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|---|---|
| Authors: | Xiong, Jie ; Zeng, Yong |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 14.2011, 2, p. 111-140
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| Publisher: |
Springer |
| Subject: | Particle filters | Monte Carlo approximation | Filtering | Counting process | Stochastic partial differential equation | Ultra-high frequency data | Primary: 60H15 | Secondary: 60K35 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009149864