Practical filtering for stochastic volatility models

von Stroud, Jonathan R.
Veröffentlicht in State space and unobserved component models (2012)

Nonlinear state-space models with state-dependent variances

von Stroud, Jonathan R.
Veröffentlicht in American Statistical Association Journal of the American Statistical Association (2003)

Bayesian forecasting of an inhomogeneous poisson process with applications to call center data

von Weinberg, Jonathan
Veröffentlicht in American Statistical Association Journal of the American Statistical Association (2007)

Optimal filtering of jump diffusions : extracting latent states from asset prices

von Johannes, Michael S.
Veröffentlicht in The review of financial studies (2009)

A simulation approach to dynamic portfolio choice with an application to learning about return predictability

Veröffentlicht 2004

A simulation approach to dynamic portfolio choice with an application to learning about returns predictability

Veröffentlicht in The review of financial studies (2005)

An ensemble Kalman filter and smoother for satellite data assimilation

Veröffentlicht in American Statistical Association Journal of the American Statistical Association (2010)