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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|Item Type:||Conference Paper|
|Keywords:||Non-Linear Filtering, Stochastic Volatility, Size Effect, Threshold|
|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:||17 Jun 2009 14:24|
|Last Modified:||29 Feb 2012 13:14|
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