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Filtering and identification of Heston's stochastic volatility model and its market risk

ShinIchi Aihara and Arunabha Bagchi

Journal of Economic Dynamics and Control, 2006, vol. 30, issue 12, 2363-2388

Date: 2006
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Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

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