Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm

DOI10.1111/j.1467-9892.2008.00584.xzbMath1199.62042OpenAlexW2137166976MaRDI QIDQ3552853

David S. Stoffer, Jeongeun Kim

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

zbMATH Keywords

missing datastate-space modelfinancial time seriesparticle filteringparticle smoothingmixtures of normals

Mathematics Subject Classification ID

Related Items (11)

EM-based algorithms for autoregressive models with t-distributed innovations ⋮ State-space models for count time series with excess zeros ⋮ The copula directional dependence by stochastic volatility models ⋮ Efficient inference for nonlinear state space models: an automatic sample size selection rule ⋮ On the asymmetry in the volatility of financial time series: a buffered transition approach ⋮ Parameter-driven state-space model for integer-valued time series with application ⋮ System identification of nonlinear state-space models ⋮ Parameter estimation with scarce measurements ⋮ On periodic autoregressive stochastic volatility models: structure and estimation ⋮ Analysis of single particle diffusion with transient binding using particle filtering ⋮ Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm

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