Subset Autoregressive Filtering Using the Forgetting Factor for Financial Simulations

Timothy John Brailsford, Jack HW Penm, Deane Terrell

    Research output: Chapter in Book/Report/Conference proceedingChapter

    Original languageEnglish
    Title of host publicationCollaborative Research in Econometrics and Quantitative Finance. Financial Market Integration. 2004
    EditorsRD Terrell, TJ Brailsford, TJ O'Neill, JHW Penm
    Place of PublicationAustralia
    PublisherEvergreen Publishing
    Pages175-210
    Volume1
    Edition1
    ISBN (Print)0975096117
    DOIs
    Publication statusPublished - 2004

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