Optimal filtering of jump diffusions : extracting latent states from asset prices
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 |
-
Ngene, Geoffrey, (2018)
-
Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin, (2004)
-
Arouri, Mohamed, (2012)
- More ...
-
Optimal Filtering of Jump Diffusions : Extracting Latent States from Asset Prices
Johannes, Michael S., (2011)
-
Nonlinear state-space models with state-dependent variances
Stroud, Jonathan R., (2003)
-
Practical filtering for stochastic volatility models
Stroud, Jonathan R., (2012)
- More ...