Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model
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More about this item
KeywordsNon-linear filtering; stochastic volatility; size effect; threshold;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-17 (All new papers)
- NEP-ECM-2007-02-17 (Econometrics)
- NEP-ETS-2007-02-17 (Econometric Time Series)
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