Signal Extraction Can Generate Volatility Clusters From IID Shocks Article

Bidarkota, Prasad V, Mcculloch, J Huston. (2002). Signal Extraction Can Generate Volatility Clusters From IID Shocks .

cited authors

  • Bidarkota, Prasad V; Mcculloch, J Huston

authors

publication date

  • November 17, 2002

keywords

  • Time-varying parameter (TVP) models
  • level shifts
  • multiprocess mixture models
  • non-Gaussian state space models
  • outliers