Particle Filters for Markov Switching Stochastic Volatility Models
Year of publication: |
2012-01-01
|
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Authors: | Bao, Yun ; Chiarella, Carl ; Kang, Boda |
Institutions: | Finance Discipline Group, Business School |
Subject: | Particle filters | Markov switching stochastic volatility models | Sequential Monte Carlo simulation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 299 2 pages long |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D11 - Consumer Economics: Theory |
Source: |
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