Filtering and identification of interest rate model with stochastic volatility

ShinIchi Aihara, Arunabha Bagchi

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    Original languageUndefined
    Title of host publicationProceedings CDC-ECC'05, Seville, Spain
    PublisherIEEE/EUCA
    Pages5227-5232
    Number of pages6
    ISBN (Print)0-7803-9568-9
    Publication statusPublished - 2005

    Keywords

    • METIS-226682

    Cite this

    Aihara, S., & Bagchi, A. (2005). Filtering and identification of interest rate model with stochastic volatility. In Proceedings CDC-ECC'05, Seville, Spain (pp. 5227-5232). IEEE/EUCA.
    Aihara, ShinIchi ; Bagchi, Arunabha. / Filtering and identification of interest rate model with stochastic volatility. Proceedings CDC-ECC'05, Seville, Spain. IEEE/EUCA, 2005. pp. 5227-5232
    @inproceedings{f0f74bce8bc24741bc6161dae4b44151,
    title = "Filtering and identification of interest rate model with stochastic volatility",
    keywords = "METIS-226682",
    author = "ShinIchi Aihara and Arunabha Bagchi",
    year = "2005",
    language = "Undefined",
    isbn = "0-7803-9568-9",
    pages = "5227--5232",
    booktitle = "Proceedings CDC-ECC'05, Seville, Spain",
    publisher = "IEEE/EUCA",

    }

    Aihara, S & Bagchi, A 2005, Filtering and identification of interest rate model with stochastic volatility. in Proceedings CDC-ECC'05, Seville, Spain. IEEE/EUCA, pp. 5227-5232.

    Filtering and identification of interest rate model with stochastic volatility. / Aihara, ShinIchi; Bagchi, Arunabha.

    Proceedings CDC-ECC'05, Seville, Spain. IEEE/EUCA, 2005. p. 5227-5232.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    TY - GEN

    T1 - Filtering and identification of interest rate model with stochastic volatility

    AU - Aihara, ShinIchi

    AU - Bagchi, Arunabha

    PY - 2005

    Y1 - 2005

    KW - METIS-226682

    M3 - Conference contribution

    SN - 0-7803-9568-9

    SP - 5227

    EP - 5232

    BT - Proceedings CDC-ECC'05, Seville, Spain

    PB - IEEE/EUCA

    ER -

    Aihara S, Bagchi A. Filtering and identification of interest rate model with stochastic volatility. In Proceedings CDC-ECC'05, Seville, Spain. IEEE/EUCA. 2005. p. 5227-5232