Filtering a nonlinear stochastic volatility model

被引：10
|
作者：
Elliott, Robert J. [1 ]
Siu, Tak Kuen [2 ]
Fung, Eric S. [3 ]
机构：
[1] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada
[2] Macquarie Univ, Dept Appl Finance & Actuarial Studies, Fac Business & Econ, Sydney, NSW 2109, Australia
[3] Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China
来源：
NONLINEAR DYNAMICS | 2012年 / 67卷 / 02期
关键词：
Stochastic volatility; Nonlinear dynamical system; Economic cycles; Nonlinear filters; Change of measures; Reference probability; VARIANCE; OPTIONS; PERSISTENCE;
D O I：
10.1007/s11071-011-0069-4
中图分类号：
TH [机械、仪表工业];
学科分类号：
0802 ;
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：19
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