Volatility extraction using the Kalman filter
Year of publication: |
2008
|
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Authors: | Kuchynka, Alexandr |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | Volatilität | Stochastischer Prozess | Schätztheorie | Theorie | volatility | stochastic volatility models | Kalman filter | volatility proxy |
Series: | IES Working Paper ; 10/2008 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 570328888 [GVK] hdl:10419/83297 [Handle] |
Classification: | C22 - Time-Series Models ; G15 - International Financial Markets |
Source: |
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