Title:

Second-Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers

Authors:

Jim Smith (U Warwick)
António Santos (U Coimbra)

Journal:

Journal of Business and Economic Statistics

Year:

2006

Volume:

24

Pages:

329-337

JEL codes:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
C22 - Time-Series Models