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Modelling seasonal fractionally integrated process with volatility and structural change
Dhliwayo, Lawrence, (2024)
Buy rough, sell smooth
Glasserman, Paul, (2023)
Stochastic volatility in interest rates and nonlinearity in velocity
Barnett, William A., (2000)
Nonlinear state-space models with state-dependent variances
Stroud, Jonathan R., (2003)
Optimal filtering of jump diffusions : extracting latent states from asset prices
Johannes, Michael S., (2009)
Optimal Filtering of Jump Diffusions : Extracting Latent States from Asset Prices
Johannes, Michael S., (2011)