Adelaide Research & Scholarship
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https://hdl.handle.net/2440/59870
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| Type: | Journal article |
| Title: | Nonlinear filter estimation of volatility |
| Author: | Elliott, R. Van Der Hoek, J. Valencia, J. |
| Citation: | Stochastic Analysis and Applications, 2010; 28(4):696-710 |
| Publisher: | Marcel Dekker Inc |
| Issue Date: | 2010 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Robert J. Elliott, John van der Hoek and Jorge Valencia |
| Abstract: | A discrete time nonlinear filter is used to estimate the volatility in a financial model. New filters are derived for sums of unobserved quantities and the EM algorithm applied to determine the parameters of the model. |
| Keywords: | EM algorithm Nonlinear filters Reference probability approach Time series Volatility |
| Rights: | © 2010 Informa plc |
| DOI: | 10.1080/07362994.2010.482841 |
| Grant ID: | ARC |
| Published version: | http://dx.doi.org/10.1080/07362994.2010.482841 |
| Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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