Conditional Gauss-Hermite Filtering with Application to Volatility Estimation
Year of publication: |
2008-10-01
|
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Authors: | Singer, Hermann |
Institutions: | Fernuniversität <Hagen> / Fakultät für Wirtschaftswissenschaft |
Subject: | Volatilität | Nichtlineares System | Nonlinear systems | Stochastische Differentialgleichung |
Extent: | 474112 bytes 22 p. application/pdf |
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Series: | Diskussionsbeitrag ; No. 430 (2008) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | Nonlinear programming ; Operations research. Other aspects ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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