Stochastic volatility model with filtering

被引：9

作者：

Elliott, RJ ^{[1
]}

Miao, H ^{[1
]}

机构：

[1] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2006年 / 24卷 / 03期

关键词：

EM algorithm; filtering; Markov switching; Stochastic volatility;

D O I：

10.1080/07362990600629389

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We generalize the stochastic volatility model by allowing the volatility to follow different dynamics in different states of the world. The dynamics of the "states of the world" are represented by a Markov chain. We estimate all the parameters by using the filtering and the EM algorithms. Closed form estimates for all parameters are derived in this paper. These estimates can be updated using new information as it arrives.

引用

页码：661 / 683

页数：23

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