Calibrating the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model
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expectation-maximization algorithminferenceparticle smoothingmaximum split data estimatemultiscale stochastic volatility model
Markov processes: estimation; hidden Markov models (62M05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)
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Cites work
- Alternative models for stock price dynamics.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistent and asymptotically normal parameter estimates for hidden Markov models
- Generalized autoregressive conditional heteroscedasticity
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo smoothing for general state space hidden Markov models
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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