Return dynamics when persistence is unobservable

Mathematical Finance

Volumn 11, Issue 4, 2001, Pages 415-445

  Johnson, Timothy C ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Filtering; Stochastic volatility; Variable persistence

Indexed keywords

EID: 0035601018     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00123     Document Type: Article

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