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Cvitanić, Jakša and Lipster, Robert and Rozovskii, Boris (2006) A filtering approach to tracking volatility from prices observed at random times. Annals of Applied Probability, 16 (3). pp. 1633-1652. ISSN 1050-5164. doi:10.1214/105051606000000222. https://resolver.caltech.edu/CaltechAUTHORS:CVIaap06

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