Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
DOI10.1111/J.1467-9892.2008.00584.XzbMATH Open1199.62042OpenAlexW2137166976MaRDI QIDQ3552853FDOQ3552853
Authors: Jeongeun Kim, David S. Stoffer 
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00584.x
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Consistent Estimates of the Parameters of a Linear System
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- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Cited In (12)
- The copula directional dependence by stochastic volatility models
- Analysis of single particle diffusion with transient binding using particle filtering
- Parameter-driven state-space model for integer-valued time series with application
- EM-based algorithms for autoregressive models with \(t\)-distributed innovations
- On periodic autoregressive stochastic volatility models: structure and estimation
- On the asymmetry in the volatility of financial time series: a buffered transition approach
- A novel first-order autoregressive moving average model to analyze discrete-time series irregularly observed
- Parameter estimation with scarce measurements
- Robust estimation using multivariate \(t\) innovations for vector autoregressive models via ECM algorithm
- State-space models for count time series with excess zeros
- System identification of nonlinear state-space models
- Efficient inference for nonlinear state space models: an automatic sample size selection rule
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