Filtering a nonlinear stochastic volatility model

DOI10.1007/S11071-011-0069-4MaRDI QIDQ437251zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu, Eric S. Fung

Publication date 17 July 2012

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11071-011-0069-4

zbMATH Keywords

nonlinear dynamical systemstochastic volatilitynonlinear filterschange of measureseconomic cyclesreference probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamical systems in optimization and economics (37N40) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Affine processes and applications in finance
• Asset price dynamics, volatility, and prediction.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayesian analysis of stochastic volatility models
• Cubature Kalman smoothers
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Multivariate Stochastic Variance Models
• Nonlinear filter estimation of volatility
• Pricing foreign currency options with stochastic volatility
• Stochastic Volatility Model with Filtering
• The Nonlinear Accelerator and the Persistence of Business Cycles
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(10)

• Filtering on a partially observed ultra-high-frequency data model
• Maximum likelihood gradient-based iterative estimation algorithm for a class of input nonlinear controlled autoregressive ARMA systems
• Linear and non-linear filtering in mathematical finance: a review
• Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• Stochastic Volatility Model with Filtering
• On filtering and estimation of a threshold stochastic volatility model
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
• Implied filtering densities on the hidden state of stochastic volatility
• Nonlinear filter estimation of volatility

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