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Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers. (2005). Santos, Antonio ; Smith, J. Q..
In: GEMF Working Papers.
RePEc:gmf:wpaper:2005-11.

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  1. Data-driven particle Filters for particle Markov Chain Monte Carlo. (2016). McCabe, Brendan ; Leung, Patrick ; Martin, Gael M ; Forbes, Catherine S.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2016-17.

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References

References cited by this document

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  6. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
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  53. What a Difference a Day Makes: On the Common Market Microstructure of Trading Days. (1998). Pohlmeier, Winfried ; Hess, Dieter ; Gerhard, Frank .
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