Adelaide Research & Scholarship
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https://hdl.handle.net/2440/36183
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| Type: | Journal article |
| Title: | Stochastic volatility model with filtering |
| Author: | Elliott, R. Miao, H. |
| Citation: | Stochastic Analysis and Applications, 2006; 24(3):661-683 |
| Publisher: | Marcel Dekker Inc |
| Issue Date: | 2006 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Robert J. Elliott; Hong Miao |
| Abstract: | 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. |
| Keywords: | EM algorithm Filtering Markov switching Stochastic volatility. |
| Description: | Copyright © Taylor & Francis Group, LLC |
| DOI: | 10.1080/07362990600629389 |
| Published version: | http://www.informaworld.com/smpp/content?content=10.1080/07362990600629389 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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