Optimal filtering of linear system driven by fractional brownian motion

by Misiran, Masnita, Wu, Changzi, Lu, Zudi, Teo, K. L.
Published 2010

Estimating Dynamic Geometric Fractional Brownian Motion and Its Application to Long-Memory Option Pricing

by Misiran, Masnita, Lu, Zudi, Kok Lay, Teo, Aw, Grace
Published 2012

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model

by Dashan HUANG, YU, Baimin, LU, Zudi, FOCARDI, Sergio, FABOZZI, Frank, FUKUSHIMA, Masao
Published 2010