A jump-diffusion particle filter for price prediction-Reference-Cited by-同舟云学术

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A jump-diffusion particle filter for price prediction

Published:2021-06 Issue: Volume:183 Page:107994
ISSN:0165-1684
Container-title:Signal Processing
language:en
Short-container-title:Signal Processing

Author:

Ntemi Myrsini,Kotropoulos Constantine

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Computer Vision and Pattern Recognition,Signal Processing,Software,Control and Systems Engineering

Reference47 articles.

1. Introduction: Modelling stock market volatility-bridging the gap to continuous time;Bollerslev,1996

2. Financial time series;Tsay;Wiley StatsRef: Statistics Reference Online,2014

3. Diffusion approximations;Glynn;Handbooks in Operations Research and Management Science,1990

4. Stochastic Processes;Paul,2013

5. Financial Modelling With Jump Processes;Tankov,2003

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