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

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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title = "The extended liu andwest filter: Parameter learning in markov switching stochastic volatility models",

author = "Rios, {Maria Paula} and Lopes, {Hedibert Freitas}",

year = "2013",

month = jan,

day = "1",

doi = "10.1007/978-1-4614-7789-1_2",

language = "English (US)",

isbn = "9781461477884",

pages = "23--61",

booktitle = "State-Space Models",

publisher = "Springer New York",

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AU - Lopes, Hedibert Freitas

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BT - State-Space Models

PB - Springer New York

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