Filtering for stochastic volatility from point process observation
p. 168-177
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oai:112.137.131.14:VNU_123-574512018-08-16T03:17:08Z Filtering for stochastic volatility from point process observation Tidarut, Plienpanich Tran, Hung Thao phrases filtering volatility point process p. 168-177 In this note we consider the filtering problem for financial volatility that is an Ornstein-Ulhenbeck process from point process observation. This problem is investigated for a Markov-Feller process of which the Ornstein-Ulhenbeck process is a particular case. 2017-08-18T03:34:11Z 2017-08-18T03:34:11Z 2007 Article Tidarut, P, Tran, H. T. (2007). Filtering for stochastic volatility from point process observation. VNU Journal of Science, Mathematics- Physics, 23, 168-177. 2588-1124 http://repository.vnu.edu.vn/handle/VNU_123/57451 en Journal of Mathematics- Physics application/pdf H. : ĐHQGHN |
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phrases filtering volatility point process Tidarut, Plienpanich Tran, Hung Thao Filtering for stochastic volatility from point process observation |
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p. 168-177 |
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Article |
author |
Tidarut, Plienpanich Tran, Hung Thao |
author_facet |
Tidarut, Plienpanich Tran, Hung Thao |
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Tidarut, Plienpanich |
title |
Filtering for stochastic volatility from point process observation |
title_short |
Filtering for stochastic volatility from point process observation |
title_full |
Filtering for stochastic volatility from point process observation |
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Filtering for stochastic volatility from point process observation |
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Filtering for stochastic volatility from point process observation |
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filtering for stochastic volatility from point process observation |
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H. : ĐHQGHN |
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2017 |
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http://repository.vnu.edu.vn/handle/VNU_123/57451 |
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