Second-order filter distribution approximations for financial time series with extreme outliers

Journal of Business and Economic Statistics

Volumn 24, Issue 3, 2006, Pages 329-337

  Smith, J Q ^a   Santos, António A F ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b UNIVERSITY OF COIMBRA   (Portugal)

Author keywords

Bayesian inference; Importance sampling; Particle filter; State space model; Stochastic volatility

Indexed keywords

EID: 33746367735     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500105000000199     Document Type: Review

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