Filtering of a multi-dimension stochastic volatility model

DOI10.1080/07362994.2011.548986MaRDI QIDQ3005154zbMATH OpenOpenAlexFDO

Authors Shangzhen Luo

Publication date 7 June 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2011.548986

zbMATH Keywords

EM algorithmfilteringhidden Markov modelstochastic volatility

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Discrete-time Markov processes on general state spaces (60J05) Financial applications of other theories (91G80)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An application of hidden Markov models to asset allocation problems
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Drift and volatility estimation in discrete time
• Hidden Markov processes
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 1059776 (Why is no real title available?)
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Stochastic Volatility Model with Filtering

Cited in

(18)

• Estimating the implicit interest rate of a risky asset
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• Filtering on a partially observed ultra-high-frequency data model
• A stochastic flows approach for asset allocation with hidden economic environment
• Filtering a nonlinear stochastic volatility model
• Implied filtering densities on the hidden state of stochastic volatility
• Stochastic filtering in regime-switching models: econometric properties, discretization and convergence
• Forecasting latent volatility through a Markov chain approximation filter
• Filtering response directions
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
• An optimal investment model with Markov-driven volatilities
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• A hidden Markov multi-assets price model
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Stochastic Volatility Model with Filtering
• An M-ary detection approach for asset allocation
• A filtering approach to tracking volatility from prices observed at random times
• Robust parameter estimation for asset price models with Markov modulated volatilities

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