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On-line change-point detection (for state space models) using multi-process Kalman filters
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On-line change-point detection (for state space models) using multi-process Kalman filters (1998)On-line change-point detection (for state…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Online monitoring with local smoothing methods and adaptive ridging (2003)Online monitoring with local …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Measuring Uncertainty (2015)
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References

  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited

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  • 2003Online monitoring with local smoothing methods and adaptive ridging5 cited

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