On filtering and estimation of a threshold stochastic volatility model

被引：8
|
作者：
Elliott, Robert J. [2 ,3 ]
Liew, Chuin Ching [4 ]
Siu, Tak Kuen [1 ]
机构：
[1] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia
[2] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada
[3] Univ Adelaide, Sch Math Sci, Adelaide, SA 5005, Australia
[4] Macquarie Univ, Dept Math, Sydney, NSW 2109, Australia
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2011年 / 218卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
Stochastic volatility; Threshold principle; Filtering; Change of measures; Reference probability; EM algorithm; CURRENCY OPTIONS; VARIANCE; LEVERAGE; PRICES;
D O I：
10.1016/j.amc.2011.05.052
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码：61 / 75
页数：15
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