Nonlinear Filter Estimation of Volatility

DOI10.1080/07362994.2010.482841zbMath1194.62111OpenAlexW2098124852MaRDI QIDQ3580107

Jorge Valencia, Robert J. Elliott, John van der Hoek

Publication date: 11 August 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.482841

zbMATH Keywords

nonlinear filtersEM algorithmtime seriesvolatilityreference probability approach

Mathematics Subject Classification ID

Related Items (3)

Filtering a nonlinear stochastic volatility model ⋮ On filtering and estimation of a threshold stochastic volatility model ⋮ Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

Cites Work

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• Measure change estimates for hidden Markov models
• A general recursive discrete-time filter

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