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scientific article; zbMATH DE number 1522717
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scientific article; zbMATH DE number 1522717

    Statements

    author
    Michael K. Pitt
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    Neil Shephard
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    publication date
    28 February 2001
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    Mathematics Subject Classification ID
    62P05
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    62M10
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    65C40
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    91B28
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    62F15
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    zbMATH DE Number
    1522717
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    zbMATH Keywords
    exchange rates
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    filtering
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    Markov chain Monte Carlo
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    SIR
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    state space
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    volatility
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