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Estimating stochastic volatility via filtering for the micromovement of asset prices.
Yong Zeng
Published in:
IEEE Trans. Autom. Control. (2004)
Keyphrases
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financial markets
market data
information filtering
rigid body
stock price
technical indicators
stock market
adaptive filtering
stochastic model
filtering method
stochastic process
monte carlo
exchange rate
image filtering
garch model
stock index futures