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Publication:2753037
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zbMath1056.93590MaRDI QIDQ2753037

Michael K. Pitt, Neil Shephard

Publication date: 23 October 2001


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.


Mathematics Subject Classification ID

Monte Carlo methods (65C05) Application models in control theory (93C95)


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Intraday Data vs Daily Data to Forecast Volatility in Financial Markets ⋮ Recursive Monte Carlo filters: algorithms and theoretical analysis ⋮ Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes ⋮ American Option Valuation with Particle Filters ⋮ Advanced point-mass method for nonlinear state estimation ⋮ Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations ⋮ Bayesian phase tracking for multiple pulse signals ⋮ A note on auxiliary particle filters ⋮ On some properties of Markov chain Monte Carlo simulation methods based on the particle filter ⋮ Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models




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