Subset Autoregressive Filtering Using the Forgetting Factor for Financial Simulations

Timothy John Brailsford; Jack HW Penm; Deane Terrell

doi:10.2139/ssrn.349360

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 proceeding › Chapter

Original language	English
Title of host publication	Collaborative Research in Econometrics and Quantitative Finance. Financial Market Integration. 2004
Editors	RD Terrell, TJ Brailsford, TJ O'Neill, JHW Penm
Place of Publication	Australia
Publisher	Evergreen Publishing
Pages	175-210
Volume	1
Edition	1
ISBN (Print)	0975096117
DOIs	https://doi.org/10.2139/ssrn.349360
Publication status	Published - 2004

Access to Document

10.2139/ssrn.349360

Cite this

Brailsford, Timothy John ; Penm, Jack HW ; Terrell, Deane. / Subset Autoregressive Filtering Using the Forgetting Factor for Financial Simulations. Collaborative Research in Econometrics and Quantitative Finance. Financial Market Integration. 2004. editor / RD Terrell, TJ Brailsford, TJ O'Neill, JHW Penm. Vol. 1 1. ed. Australia : Evergreen Publishing, 2004. pp. 175-210

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Subset Autoregressive Filtering Using the Forgetting Factor for Financial Simulations. / Brailsford, Timothy John; Penm, Jack HW; Terrell, Deane.
Collaborative Research in Econometrics and Quantitative Finance. Financial Market Integration. 2004. ed. / RD Terrell, TJ Brailsford, TJ O'Neill, JHW Penm. Vol. 1 1. ed. Australia: Evergreen Publishing, 2004. p. 175-210.

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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