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A quadratic Kalman filter
Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume - 2014
Persistent link: https://www.econbiz.de/10010438259
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Observability and nonlinear filtering
Handel, Ramon van - In: Probability theory and related fields 145 (2009) 1/2, pp. 35-74
Persistent link: https://www.econbiz.de/10003936338
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Fast continous-discrete DAF-filters
Mazzoni, Thomas - 2009
Persistent link: https://www.econbiz.de/10003947355
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
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Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
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What drives the nonlinearity of time series : a frequency perspective
Caraiani, Petre - In: Economics letters 125 (2014) 1, pp. 40-42
Persistent link: https://www.econbiz.de/10010504780
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Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Journal of financial engineering 1 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010508007
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2248-2268
Persistent link: https://www.econbiz.de/10010461908
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On deformations, approximations and nonlinear filtering
Hazewinkel, Michiel - 1980
Persistent link: https://www.econbiz.de/10001379156