António Alberto Santos
Biographic Data
| ID | 9107652 |
|---|---|
| NAME | António Alberto Santos |
| GIVEN NAMES | António Alberto |
| FAMILY NAME | Santos |
| SIGNATURE | SANTOS A A |
| AFFILIATIONS | University of Coimbra |
| ORCID | 0000-0001-5472-8601 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2006 |
| LATEST PUBLICATION YEAR | 2006 |
| H-INDEX | 0 |
Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers
Particle filters are regularly used to obtain the filter distributions associated with state–space financial time series. The most common use today is the auxiliary particle filter (APF) method in conjunction with a first-order Taylor expansion of the log-likelihood. We argue that for series such as stock returns, which exhibit fairly frequent and extreme outliers, filters based on this first-order approximation can easily break down. However, an…
No prominent works on this page.
Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers
Particle filters are regularly used to obtain the filter distributions associated with state–space financial time series. The most common use today is the auxiliary particle filter (APF) method in conjunction with a first-order Taylor expansion of the log-likelihood. We argue that for series such as stock returns, which exhibit fairly frequent and extreme outliers, filters based on this first-order approximation can easily break down. However, an…
Applied Mathematics (1 work) · Climate variability and models (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Finance (1 work) · Financial Risk and Volatility Modeling (1 work) · Hydrology and Drought Analysis (1 work) · Mathematical analysis (1 work) · Mathematical optimization (1 work)