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 proceedingChapter

16 Scopus citations
Original languageEnglish (US)
Title of host publicationState-Space Models
Subtitle of host publicationApplications in Economics and Finance
PublisherSpringer New York
Pages23-61
Number of pages39
ISBN (Electronic)9781461477891
ISBN (Print)9781461477884
DOIs
StatePublished - Jan 1 2013
Externally publishedYes

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)

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