Nikolay Y. Nikolaev, Lilian M. de Menezes, Evgueni N. Smirnov. Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation. In IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2014, London, UK, March 27-28, 2014. pages 310-317, IEEE, 2014. [doi]
Abstract is missing.