Nonlinear filter estimation of volatility

DOI10.1080/07362994.2010.482841MaRDI QIDQ3580107zbMATH OpenOpenAlexFDO

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

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

EM algorithmtime seriesvolatilitynonlinear filtersreference probability approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A general recursive discrete-time filter
• Measure change estimates for hidden Markov models

Cited in

(21)

• Online estimation of time-varying volatility using a continuous-discrete LMS algorithm
• On filtering and estimation of a threshold stochastic volatility model
• Volatility estimation of hidden Markov processes and adaptive filtration
• Expected a posteriori estimation in finance
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Nonparametric estimation of volatility and its parametric analogs
• Volatility research based on the modified unscented Kalman filter
• Extracting volatility signal using maximum a posteriori estimation
• Filtering a nonlinear stochastic volatility model
• An unscented Kalman smoother for volatility extraction: evidence from stock prices and options
• Tracking volatility
• Recovery of volatility coefficient by linearization
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• Recursive estimation for continuous time stochastic volatility models
• Volatility filtering in estimation of kurtosis (and variance)
• Nonlinear recursive estimation of volatility via estimating functions
• Linear filtering for asymmetric stochastic volatility models
• A nonlinear Bayesian filtering approach to estimating adaptive market effciency
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
• Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction

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