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
收藏
页码：61 / 75
页数：15
相关论文
共 50 条
  • [1] Value at risk estimation by threshold stochastic volatility model
    Huang, Alex YiHou
    APPLIED ECONOMICS, 2015, 47 (45) : 4884 - 4900
  • [2] Stochastic volatility model with filtering
    Elliott, RJ
    Miao, H
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2006, 24 (03) : 661 - 683
  • [3] A threshold stochastic volatility model
    So, MKP
    Li, WK
    Lam, K
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 485 - 485
  • [4] A threshold stochastic volatility model
    So, MKP
    Li, WK
    Lam, K
    JOURNAL OF FORECASTING, 2002, 21 (07) : 473 - 500
  • [5] ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
    Kanaya, Shin
    Kristensen, Dennis
    ECONOMETRIC THEORY, 2016, 32 (04) : 861 - 916
  • [6] Filtering a nonlinear stochastic volatility model
    Robert J. Elliott
    Tak Kuen Siu
    Eric S. Fung
    Nonlinear Dynamics, 2012, 67 : 1295 - 1313
  • [7] Filtering a nonlinear stochastic volatility model
    Elliott, Robert J.
    Siu, Tak Kuen
    Fung, Eric S.
    NONLINEAR DYNAMICS, 2012, 67 (02) : 1295 - 1313
  • [8] A multivariate threshold stochastic volatility model
    So, Mike K. P.
    Choi, C. Y.
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2008, 79 (03) : 306 - 317
  • [9] On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method
    Cacace, F.
    Germani, A.
    Papi, M.
    DECISIONS IN ECONOMICS AND FINANCE, 2019, 42 (02) : 503 - 525
  • [10] On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method
    F. Cacace
    A. Germani
    M. Papi
    Decisions in Economics and Finance, 2019, 42 : 503 - 525
12345