Filtering a nonlinear stochastic volatility model

被引：0
|
作者：
Robert J. Elliott
Tak Kuen Siu
Eric S. Fung
机构：
[1] University of Adelaide,School of Mathematical Sciences
[2] University of Calgary,Haskayne School of Business
[3] Macquarie University,Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics
[4] Hong Kong Baptist University,Department of Mathematics
来源：
Nonlinear Dynamics | 2012年 / 67卷
关键词：
Stochastic volatility; Nonlinear dynamical system; Economic cycles; Nonlinear filters; Change of measures; Reference probability;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We introduce a class of stochastic volatility models whose parameters are modulated by a hidden nonlinear dynamical system. Our aim is to incorporate the impact of economic cycles, or business cycles, into the long-term behavior of volatility dynamics. We develop a discrete-time nonlinear filter for the estimation of the hidden volatility and the nonlinear dynamical system based on return observations. By exploiting the technique of a reference probability measure we derive filters for the hidden volatility and the nonlinear dynamical system.
引用
收藏
页码：1295 / 1313
页数：18
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