A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants

X. Zhao; Q. Hou; D. Lee; M. Reale; C. Scarrott; G. Russell; A. MacDonald; M. Zahari

A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants

X. Zhao
, Q. Hou
, D. Lee
, M. Reale
, C. Scarrott
, G. Russell
, A. MacDonald
, M. Zahari

University of Canterbury
Christchurch Women's Hospital

Research output: Chapter in Book or Conference Publication/Proceeding › Conference Publication › peer-review

Original language	English
Title of host publication	MODSIM07 - Land, Water and Environmental Management
Subtitle of host publication	Integrated Systems for Sustainability, Proceedings
Pages	2027-2033
Number of pages	7
Publication status	Published - 2007
Externally published	Yes
Event	International Congress on Modelling and Simulation - Land, Water and Environmental Management: Integrated Systems for Sustainability, MODSIM07 - Christchurch, New Zealand Duration: 10 Dec 2007 → 13 Dec 2007

Publication series

Name	MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings

Conference

Conference	International Congress on Modelling and Simulation - Land, Water and Environmental Management: Integrated Systems for Sustainability, MODSIM07
Country/Territory	New Zealand
City	Christchurch
Period	10/12/07 → 13/12/07

Keywords

Particle filter
Realized volatility
Stochastic volatility

Cite this

Zhao, X., Hou, Q., Lee, D., Reale, M., Scarrott, C., Russell, G., MacDonald, A., & Zahari, M. (2007). A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants. In MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings (pp. 2027-2033). (MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings).

Zhao, X. ; Hou, Q. ; Lee, D. et al. / A comparison between alternative volatility estimations : Application on blood oxygen concentration of preterm infants. MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings. 2007. pp. 2027-2033 (MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings).

@inproceedings{39b6ca8ce644405fa23429e80607c33e,

title = "A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants",

keywords = "Particle filter, Realized volatility, Stochastic volatility",

author = "X. Zhao and Q. Hou and D. Lee and M. Reale and C. Scarrott and G. Russell and A. MacDonald and M. Zahari",

year = "2007",

language = "English",

isbn = "9780975840047",

series = "MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings",

pages = "2027--2033",

booktitle = "MODSIM07 - Land, Water and Environmental Management",

note = "International Congress on Modelling and Simulation - Land, Water and Environmental Management: Integrated Systems for Sustainability, MODSIM07 ; Conference date: 10-12-2007 Through 13-12-2007",

}

Zhao, X, Hou, Q, Lee, D, Reale, M, Scarrott, C, Russell, G, MacDonald, A & Zahari, M 2007, A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants. in MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings. MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings, pp. 2027-2033, International Congress on Modelling and Simulation - Land, Water and Environmental Management: Integrated Systems for Sustainability, MODSIM07, Christchurch, New Zealand, 10/12/07.

A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants. / Zhao, X.; Hou, Q.; Lee, D. et al.
MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings. 2007. p. 2027-2033 (MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings).

Research output: Chapter in Book or Conference Publication/Proceeding › Conference Publication › peer-review

TY - GEN

T1 - A comparison between alternative volatility estimations

T2 - International Congress on Modelling and Simulation - Land, Water and Environmental Management: Integrated Systems for Sustainability, MODSIM07

AU - Zhao, X.

AU - Hou, Q.

AU - Lee, D.

AU - Reale, M.

AU - Scarrott, C.

AU - Russell, G.

AU - MacDonald, A.

AU - Zahari, M.

PY - 2007

Y1 - 2007

KW - Particle filter

KW - Realized volatility

KW - Stochastic volatility

UR - https://www.scopus.com/pages/publications/80052936921

M3 - Conference Publication

AN - SCOPUS:80052936921

SN - 9780975840047

T3 - MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings

SP - 2027

EP - 2033

BT - MODSIM07 - Land, Water and Environmental Management

Y2 - 10 December 2007 through 13 December 2007

ER -

Zhao X, Hou Q, Lee D, Reale M, Scarrott C, Russell G et al. A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants. In MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings. 2007. p. 2027-2033. (MODSIM07 - Land, Water and Environmental Management: Integrated Systems for Sustainability, Proceedings).

A comparison between alternative volatility estimations: Application on blood oxygen concentration of preterm infants

Publication series

Conference

Keywords

Other files and links

Cite this