SVDNF (Q72994)
From MaRDI portal
Discrete Nonlinear Filtering for Stochastic Volatility Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SVDNF |
Discrete Nonlinear Filtering for Stochastic Volatility Models |
Statements
8 August 2023
0 references
Generates simulated paths from various financial stochastic volatility models with jumps and applies the discrete nonlinear filter (DNF) of Kitagawa (1987) <doi:10.1080/01621459.1987.10478534> to compute likelihood evaluations, filtering distribution estimates, and maximum likelihood parameter estimates. The algorithm is implemented following the work of Bégin and Boudreault (2021) <doi:10.1080/10618600.2020.1840995>.
0 references
