Reprinted in "Stochastic Volatility: Selected Readings," (editor Neil Shephard), Oxford University Press, 480-514, 2005. Reprinted in "Financial Risk Measurement and Management" (editor Francis X. Diebold), Edward Elgar.
Pitt, Michael J, and Neil Shephard. 2001. “Auxiliary variable particle filters.” Sequential Monte Carlo Methods in Practice, (edited by A. Doucet, J.F.G de Freitas and N.J. Gordon), 273-293. New York: Springer-Verlag.