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Results for STOCHASTIC VOLATILITY

Publications & Outputs

  1. 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/MagazineJournal articlepeer-review

  2. 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/MagazineJournal articlepeer-review

  3. 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/MagazineJournal articlepeer-review