Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model (Q5460680)
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scientific article; zbMATH DE number 2187512
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model |
scientific article; zbMATH DE number 2187512 |
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Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model (English)
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18 July 2005
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financial dynamics
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market microstructure
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stochastic difference equations
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stochastic volatility model
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Kalman filter
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maximum likelihood
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parameter estimation
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dynamic asset allocation
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comtinuous time microstructure model
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