Use of adapted particle filters in SVJD models
Year of publication: |
2018
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Authors: | Fičura, Milan ; Witzany, Jiří |
Published in: |
European financial and accounting journal : EFAJ. - Praha : [Verlag nicht ermittelbar], ISSN 1805-4846, ZDB-ID 2819858-X. - Vol. 13.2018, 3, p. 5-20
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Subject: | Particle Filters | Price Jumps | Stochastic Volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.18267/j.efaj.211 [DOI] hdl:10419/242257 [Handle] |
Classification: | C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; G1 - General Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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