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Issue Date
Title
Author(s)
2011
On filtering and estimation of a threshold stochastic volatility model
Elliott, R.
;
Liew, C.
;
Siu, T.
2011
An M-ary detection approach for asset allocation
Elliott, R.
;
Siu, T.
2011
A filter for a hidden Markov chain observed in fractional Gaussian noise
Elliott, R.
;
Deng, J.
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Author
2
Siu, T.
1
Deng, J.
1
Liew, C.
Subject
1
Asset allocation
1
Change of measures
1
EM algorithm
1
Fractional white noise
1
Hidden Markov chain
1
HJB dynamic programming
1
M-ary detection
1
Model uncertainty
1
Reference probability
1
Stochastic volatility
.
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Date issued
3
2011