Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
type: Item
instance of: scholarly article
title: Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
author: Stefano Peluso
author: Antonietta Mira
author: Pietro Muliere
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-18T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7883156
zbMATH Keywords: forward filtering and backward sampling
zbMATH Keywords: integrated variance
zbMATH Keywords: Kalman filtering
zbMATH Keywords: state-space models
MaRDI profile type: Publication
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DOI: 10.1002/ASMB.2476
description: scientific article; zbMATH DE number 7883156