Yun Bao

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Particle Filters for Markov Switching Stochastic Volatility Models

Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 21 Posted: 23 Oct 2012
Yun Bao, Carl Chiarella and Boda Kang
affiliation not provided to SSRN, University of Technology, Sydney - UTS Business School, Finance Discipline Group and AMP
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Abstract:

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particle filters, Markov switching stochastic volatility models, sequential Monte Carlo simulation