Filtering a nonlinear stochastic volatility model

DOI10.1007/s11071-011-0069-4zbMath1356.91073MaRDI QIDQ437251

Eric S. Fung, Tak Kuen Siu, Robert J. Elliott

Publication date: 17 July 2012

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11071-011-0069-4

zbMATH Keywords

nonlinear filters; stochastic volatility; nonlinear dynamical system; change of measures; economic cycles; reference probability

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B70: Stochastic models in economics

37N40: Dynamical systems in optimization and economics

Related Items

Maximum likelihood gradient-based iterative estimation algorithm for a class of input nonlinear controlled autoregressive ARMA systems, Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

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