Name
Abstract | ||
|---|---|---|
We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we derive a nonlinear filter for the hidden volatility and related quantities. The filter-based estimates for the unknown parameters are then obtained from the EM algorithm. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.amc.2011.05.052 | Applied Mathematics and Computation |
Keywords | Field | DocType |
Stochastic volatility,Threshold principle,Filtering,Change of measures,Reference probability,EM algorithm | Econometrics,Stochastic volatility,Autoregressive model,Applied mathematics,Mathematical optimization,Expectation–maximization algorithm,Probability measure,Heston model,Filter (signal processing),Nonlinear filter,Volatility (finance),Mathematics | Journal |
Volume | Issue | ISSN |
218 | 1 | 0096-3003 |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Chuin Ching Liew | 2 | 0 | 0.68 |
| Tak Kuen Siu | 3 | 114 | 20.25 |