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Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model

Clements, Adam & White, Scott (2005) Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model. In Zerger, A & Argent, R (Eds.) MODSIM 2005 International Congress on Modelling and Simulation, 12 December - 15 December 2005, Australia, Victoria, Melbourne.

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ID Code: 24208
Item Type: Conference Paper
Keywords: Non-Linear Filtering, Stochastic Volatility, Size Effect, Threshold
ISBN: 0-9758400-2-9
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 18 Jun 2009 00:24
Last Modified: 29 Feb 2012 23:14

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