Filtering for stochastic volatility from point process observation
p. 168-177
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2017
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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 |
| institution |
Vietnam National University, Hanoi |
| building |
VNU Library & Information Center |
| country |
Vietnam |
| collection |
VNU Digital Repository |
| language |
English |
| topic |
phrases filtering volatility point process |
| spellingShingle |
phrases filtering volatility point process Tidarut, Plienpanich Tran, Hung Thao Filtering for stochastic volatility from point process observation |
| description |
p. 168-177 |
| format |
Article |
| author |
Tidarut, Plienpanich Tran, Hung Thao |
| author_facet |
Tidarut, Plienpanich Tran, Hung Thao |
| author_sort |
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 |
| title_fullStr |
Filtering for stochastic volatility from point process observation |
| title_full_unstemmed |
Filtering for stochastic volatility from point process observation |
| title_sort |
filtering for stochastic volatility from point process observation |
| publisher |
H. : ĐHQGHN |
| publishDate |
2017 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/57451 |
| _version_ |
1680963917005717504 |