Optimal filtering of jump diffusions : extracting latent states from asset prices
Michael S. Johannes; Nicholas G. Polson; Jonathan R. Stroud
| Year of publication: |
2009
|
|---|---|
| Authors: | Johannes, Michael S. ; Polson, Nicholas G. ; Stroud, Jonathan R. |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 22.2009, 7, p. 2759-2799
|
| Subject: | Börsenkurs | Share price | Volatilität | Volatility | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Theorie | Theory | USA | United States | 1980-2003 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003866870