EEMCS

Aihara, S.I. and Bagchi, A. and Imreizeeq, E.S.N. (2009) Parameter estimation of electricity spot models from futures prices. In: Proceedings of the 15th IFAC Symposium on System Identification, 6-8 July 2009, Saint-Malo. pp. 1457-1462. IFAC. ISBN 978-3-902661-47-0

Aihara, S.I. and Bagchi, A. and Saha, S. (2009) On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index -. International Journal of Innovative Computing, Information and Control, 5 (1). pp. 17-27. ISSN 1349-4198 *** ISI Impact 1,664 ***

Aihara, S.I. and Bagchi, A. (2008) Filtering and identification of affine term structures from yield curve data. Memorandum 1865, Department of Applied Mathematics, University of Twente, Enschede. ISSN 1874-4850

Aihara, S.I. and Bagchi, A. and Saha, S. (2008) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In: 17th IFAC World Congress, 06-11 July 2008, Seoul. pp. 6490-6495. IFAC. ISBN 978-3-902661-00-5

Aihara, S.I. and Bagchi, A. (2007) Recursive parameter identification for infinite-dimensional factor model by using particle filter. (Invited) In: Proceedings of the 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 9-10 Nov 2006, Suwa, Nagano, Japan. pp. 40-45. Institute of Systems, Control and Information Engineers (ISCIE). ISBN 4-915740-23-0

Aihara, S.I. and Bagchi, A. (2006) Filtering and identification of Heston's stochastic volatility model and its market risk. Journal of Economic Dynamics & Control, 30 (12). pp. 2363-2388. ISSN 0165-1889 *** ISI Impact 1,117 ***

Aihara, S.I. and Bagchi, A. (2006) Filtering and identification of stochastic volatility for parabolic type factor models. International Journal of Innovative Computing, Information and Control, 2 (5). pp. 1-9. ISSN 1349-4198 *** ISI Impact 1,664 ***

Aihara, S.I. and Bagchi, A. (2006) Parameter estimation of parabolic type factor models and empirical study of US treasury bonds. In: Proceedings of the 22nd IFIP TC7 Conference, July 18–22, 2005, Turin, Italy. pp. 207-217. IFIP International Federation for Information Processing (199). Springer Verlag. ISBN 0-387-32774-6