Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outlier



J.Q. Smith and Antonio Santos

Diebold FX, Lopez JA. 1995. Modeling volatility dynamics. In Macroeconomics:
Developments, Tensions, and Prospects,
K. Hoover (ed.), pp. 427-472. Boston:
Kluwer Academic Press.

Doucet A. 2000. On sequential simulation-based methods for bayesian filtering.
Statistics and Computing 10: 197-208.

Doucet A, de Freitas N, Gordon N. 2001. Sequential Monte Carlo Methods in
Practice
. New York: Springer.

Doucet A, Godsill S, Andrieu C. 2000. On sequential monte carlo sampling meth-
ods for bayesian filtering. Technical report, Signal Processing Group, Depart-
ment of Engineering, University of Cambridge.

Engle RF. 1995. ARCH: Selected Readings. Oxford: Oxford University Press.

Fearnhead P. 1998. Sequential Monte Carlo metods in filter theory. Ph. D. thesis,
University of Oxford.

Freitas JFG. 1999. Bayesian Methods for Neural Networks. Ph. D. thesis, Engi-
neering Department, University of Cambridge.

Gallant AR, Rossi PE, Tauchen G. 1993. Nonlinear dynamics structures. Econo-
metrica
61: 871-907.

Gamerman D. 1997. Markov Chain Monte Carlo: Stochastic Simulation for
Bayesian Inference
. London: Chapman & Hall.

Gilks WR, Richardson S, Spiegelhalter DJ. 1996. Introducing markov chain monte
carlo. In
Markov Chain Monte Carlo in Practice, W. R. Gilks, S. Richardson,
and D. J. Spiegelhalter (eds.). London: Chapman & Hall.

Godsill SJ, Doucet A, West M. 2000. Monte carlo smoothing for non-linear time
series. Technical report, Institute of Statistics and Decision Sciences, Duke
University.

G.E.M.F - F.E.U.C.

21




More intriguing information

1. The name is absent
2. The name is absent
3. TLRP: academic challenges for moral purposes
4. The name is absent
5. Transfer from primary school to secondary school
6. The Effects of Attendance on Academic Performance: Panel Data Evidence for Introductory Microeconomics
7. The name is absent
8. A MARKOVIAN APPROXIMATED SOLUTION TO A PORTFOLIO MANAGEMENT PROBLEM
9. Critical Race Theory and Education: Racism and antiracism in educational theory and praxis David Gillborn*
10. From music student to professional: the process of transition