Entropy Based Student’s t-Process Dynamical Model
Entropy Based Student’s t-Process Dynamical Model
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Switzerland: MDPI AG
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English
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Switzerland: MDPI AG
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Volatility, which represents the magnitude of fluctuating asset prices or returns, is used in the problems of finance to design optimal asset allocations and to calculate the price of derivatives. Since volatility is unobservable, it is identified and estimated by latent variable models known as volatility fluctuation models. Almost all conventiona...
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Entropy Based Student’s t-Process Dynamical Model
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TN_cdi_doaj_primary_oai_doaj_org_article_f6d6385a92134678820dab10a526bdc6
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_f6d6385a92134678820dab10a526bdc6
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ISSN
1099-4300
E-ISSN
1099-4300
DOI
10.3390/e23050560