Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation. Nikolaev, N. Y., de Menezes, L. M., & Smirnov, E. N. In Proceedings of CIFEr, pages 310-317, 2014. Paper bibtex @inproceedings{ dblp1669435,
title = {Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation},
author = {Nikolay Y. Nikolaev and Lilian M. de Menezes and Evgueni N. Smirnov},
author_short = {Nikolaev, N. Y. and de Menezes, L. M. and Smirnov, E. N.},
bibtype = {inproceedings},
type = {inproceedings},
year = {2014},
key = {dblp1669435},
id = {dblp1669435},
biburl = {http://www.dblp.org/rec/bibtex/conf/cifer/NikolaevMS14},
url = {http://dx.doi.org/10.1109/CIFEr.2014.6924089},
conference = {CIFEr},
pages = {310-317},
text = {CIFEr 2014:310-317},
booktitle = {Proceedings of CIFEr}
}
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