"An unscented Kalman smoother for volatility extraction: Evidence from ..."

Junye Li (2013)

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DOI: 10.1016/J.CSDA.2011.06.001

access: closed

type: Journal Article

metadata version: 2020-02-18

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Junye Li:
An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options. Comput. Stat. Data Anal. 58: 15-26 (2013)

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