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

页码：61 / 75

页数：15

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