On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach (Q4990515)
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scientific article; zbMATH DE number 7352461
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach |
scientific article; zbMATH DE number 7352461 |
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On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach (English)
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28 May 2021
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stochastic volatility jump-diffusion
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particle filter
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sequential importance resampling
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realized measures
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option realized variance
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options
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