Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models

DOI10.1016/j.csda.2007.07.009zbMath1452.62757MaRDI QIDQ1023616

Drew D. Creal

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.07.009

zbMATH Keywords

stochastic volatility; Kalman filter; Lévy process; particle filter

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62-08: Computational methods for problems pertaining to statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Particle Markov Chain Monte Carlo Methods, Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets, Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method, Probabilistic forecasts of volatility and its risk premia, Implied volatility in oil markets, The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach, Editorial: Special issue on statistical and computational methods in finance, Model complexity and out-of-sample performance: evidence from S\&P 500 index returns, Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes, Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise, Joint parameter and state estimation based on marginal particle filter and particle swarm optimization, Option pricing and hedging for optimized Lévy driven stochastic volatility models, Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes, Particle filters and Bayesian inference in financial econometrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Comparing stochastic volatility models through Monte Carlo simulations
• Inference in hidden Markov models.
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Sequential Monte Carlo Methods in Practice
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• A Note on Non-Negative Continuous Time Processes
• Lévy-driven CARMA processes