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Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm.

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  • المؤلفون: JEONGEUN KIM1; STOFFER, DAVID S.2
  • المصدر:
    Journal of Time Series Analysis. Sep2008, Vol. 29 Issue 5, p811-833. 23p. 3 Charts, 2 Graphs.