Filtering of a Multi-Dimension Stochastic Volatility Model

DOI10.1080/07362994.2011.548986zbMath1217.60032MaRDI QIDQ3005154

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 algorithm; stochastic volatility; hidden Markov model; filtering

Mathematics Subject Classification ID

60J05: Discrete-time Markov processes on general state spaces

60G35: Signal detection and filtering (aspects of stochastic processes)

91G80: Financial applications of other theories

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