Filtering of stochastic volatility model

ShinIchi Aihara; Arunabha Bagchi

doi:10.1016/S1474-6670(17)35002-4

Filtering of stochastic volatility model

ShinIchi Aihara, Arunabha Bagchi

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

Original language	English
Title of host publication	13th IFAC Symposium on System Identification (SYSID 2003), Rotterdam, The Netherlands, 27-29 August, 2003
Pages	1681-1686
Number of pages	6
DOIs	https://doi.org/10.1016/S1474-6670(17)35002-4
Publication status	Published - 27 Aug 2003
Event	13th IFAC Symposium on System Identification, SYSID 2003 - Rotterdam, Netherlands Duration: 27 Aug 2003 → 29 Aug 2003 Conference number: 13

Publication series

Name	IFAC Proceedings
Publisher	IFAC
Number	16
Volume	36

Conference

Conference	13th IFAC Symposium on System Identification, SYSID 2003
Abbreviated title	SYSID
Country/Territory	Netherlands
City	Rotterdam
Period	27/08/03 → 29/08/03

Keywords

METIS-216760

Access to Document

10.1016/S1474-6670(17)35002-4

Cite this

@inproceedings{1be30189923343bd840c8481f1bba07f,

title = "Filtering of stochastic volatility model",

keywords = "METIS-216760",

author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2003",

month = aug,

day = "27",

doi = "10.1016/S1474-6670(17)35002-4",

language = "English",

isbn = "978-0-08-043709-5",

series = "IFAC Proceedings",

publisher = "IFAC",

number = "16",

pages = "1681--1686",

booktitle = "13th IFAC Symposium on System Identification (SYSID 2003), Rotterdam, The Netherlands, 27-29 August, 2003",

note = "13th IFAC Symposium on System Identification, SYSID 2003, SYSID ; Conference date: 27-08-2003 Through 29-08-2003",

}

TY - GEN

T1 - Filtering of stochastic volatility model

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

N1 - Conference code: 13

PY - 2003/8/27

Y1 - 2003/8/27

KW - METIS-216760

U2 - 10.1016/S1474-6670(17)35002-4

DO - 10.1016/S1474-6670(17)35002-4

M3 - Conference contribution

SN - 978-0-08-043709-5

T3 - IFAC Proceedings

SP - 1681

EP - 1686

BT - 13th IFAC Symposium on System Identification (SYSID 2003), Rotterdam, The Netherlands, 27-29 August, 2003

T2 - 13th IFAC Symposium on System Identification, SYSID 2003

Y2 - 27 August 2003 through 29 August 2003

ER -