Particle Filters for Markov Switching Stochastic Volatility Models

Yun Bao, Carl Chiarella, Boda Kang

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

Original language	English
Title of host publication	The Oxford Handbook of Computational Economics and Finance
Publisher	Oxford University Press
Pages	249-266
ISBN (Print)	9780199844371
DOIs	https://doi.org/10.1093/oxfordhb/9780199844371.013.9
Publication status	Published - 1 Apr 2018

Access to Document

@inbook{305430e8bea54439989af8fbcda1b86f,

title = "Particle Filters for Markov Switching Stochastic Volatility Models",

author = "Yun Bao and Carl Chiarella and Boda Kang",

year = "2018",

month = apr,

day = "1",

doi = "10.1093/oxfordhb/9780199844371.013.9",

language = "English",

isbn = "9780199844371",

pages = "249--266",

booktitle = "The Oxford Handbook of Computational Economics and Finance",

publisher = "Oxford University Press",

address = "United Kingdom",

}

TY - CHAP

T1 - Particle Filters for Markov Switching Stochastic Volatility Models

AU - Bao, Yun

AU - Chiarella, Carl

AU - Kang, Boda

PY - 2018/4/1

Y1 - 2018/4/1

U2 - 10.1093/oxfordhb/9780199844371.013.9

DO - 10.1093/oxfordhb/9780199844371.013.9

M3 - Chapter

SN - 9780199844371

SP - 249

EP - 266

BT - The Oxford Handbook of Computational Economics and Finance

PB - Oxford University Press

ER -