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Volumn 16, Issue 3, 2006, Pages 1633-1652

A filtering approach to tracking volatility from prices observed at random times

Author keywords

Discrete observations; Nonlinear filtering; Volatility estimation

Indexed keywords


EID: 33750522200     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000222     Document Type: Article
Times cited : (38)

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