Stochastic Filtering With Applications In Finance:
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KeywordsKalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps;
- G - Financial Economics
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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