The extended liu andwest filter: Parameter learning in markov switching stochastic volatility models

Maria Paula Rios, Hedibert Freitas Lopes

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English (US)
Title of host publication	State-Space Models
Subtitle of host publication	Applications in Economics and Finance
Publisher	Springer New York
Pages	23-61
Number of pages	39
ISBN (Electronic)	9781461477891
ISBN (Print)	9781461477884
DOIs	https://doi.org/10.1007/978-1-4614-7789-1_2
State	Published - Jan 1 2013
Externally published	Yes

ASJC Scopus subject areas

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