Filtering of stochastic volatility and identification of market price of volatility risk

ShinIchi Aihara; Arunabha Bagchi

doi:10.5687/sss.2003.108

Filtering of stochastic volatility and identification of market price of volatility risk

ShinIchi Aihara, Arunabha Bagchi

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

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Original language	English
Title of host publication	Proceedings of the 34th ISCIE International Symposium on Stochastic Theory and Its Applications, Fukuoka, Japan
Place of Publication	Fukuoka, Japan
Pages	108-113
Number of pages	6
DOIs	https://doi.org/10.5687/sss.2003.108
Publication status	Published - 2003
Event	34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications - Fukuoka, Japan Duration: 31 Oct 2002 → 1 Nov 2002 Conference number: 34

Conference

Conference	34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
Abbreviated title	ISCIE 2002
Country/Territory	Japan
City	Fukuoka
Period	31/10/02 → 1/11/02

Keywords

METIS-216768

Access to Document

10.5687/sss.2003.108

2003_108Final published version, 2.25 MB

Cite this

@inproceedings{b164d2444c7741c5a28555009a88a9c2,

title = "Filtering of stochastic volatility and identification of market price of volatility risk",

keywords = "METIS-216768",

author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2003",

doi = "10.5687/sss.2003.108",

language = "English",

isbn = "4-915740-19-0",

pages = "108--113",

booktitle = "Proceedings of the 34th ISCIE International Symposium on Stochastic Theory and Its Applications, Fukuoka, Japan",

note = "34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, ISCIE 2002 ; Conference date: 31-10-2002 Through 01-11-2002",

}

Aihara, S & Bagchi, A 2003, Filtering of stochastic volatility and identification of market price of volatility risk. in Proceedings of the 34th ISCIE International Symposium on Stochastic Theory and Its Applications, Fukuoka, Japan. Fukuoka, Japan, pp. 108-113, 34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, Fukuoka, Japan, 31/10/02. https://doi.org/10.5687/sss.2003.108

Filtering of stochastic volatility and identification of market price of volatility risk. / Aihara, ShinIchi; Bagchi, Arunabha.

Proceedings of the 34th ISCIE International Symposium on Stochastic Theory and Its Applications, Fukuoka, Japan. Fukuoka, Japan, 2003. p. 108-113.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - Filtering of stochastic volatility and identification of market price of volatility risk

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

N1 - Conference code: 34

PY - 2003

Y1 - 2003

KW - METIS-216768

U2 - 10.5687/sss.2003.108

DO - 10.5687/sss.2003.108

M3 - Conference contribution

SN - 4-915740-19-0

SP - 108

EP - 113

BT - Proceedings of the 34th ISCIE International Symposium on Stochastic Theory and Its Applications, Fukuoka, Japan

CY - Fukuoka, Japan

T2 - 34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

Y2 - 31 October 2002 through 1 November 2002

ER -