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Research at Lancaster
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Results for STOCHASTIC VOLATILITY
Publications & Outputs
Frequency domain estimation of integrated volatility for Ito processes in the presence of market-microstructure noise
Olhede, S. C.,
Sykulski, A. M.
& Pavliotis, G. A.,
2009
,
In:
Multiscale Modeling and Simulation.
8
,
2
,
p. 393-427
35 p.
Research output
:
Contribution to Journal/Magazine
›
Journal article
›
peer-review
Using Random Quasi-Monte-Carlo Within Particle Filters, With Application to Financial Time Series.
Fearnhead, P.
,
12/2005
,
In:
Journal of Computational and Graphical Statistics.
14
,
4
,
p. 751-769
19 p.
Research output
:
Contribution to Journal/Magazine
›
Journal article
›
peer-review
MCMC, sufficient statistics and particle filters.
Fearnhead, P.
,
1/12/2002
,
In:
Journal of Computational and Graphical Statistics.
11
,
4
,
p. 848-862
15 p.
Research output
:
Contribution to Journal/Magazine
›
Journal article
›
peer-review