Filtering a nonlinear stochastic volatility model
From MaRDI portal
Publication:437251
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
nonlinear filters; stochastic volatility; nonlinear dynamical system; change of measures; economic cycles; reference probability
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Cubature Kalman smoothers
- Autoregressive conditional heteroskedasticity and changes in regime
- Affine processes and applications in finance
- Nonlinear Filter Estimation of Volatility
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Price Variability-Volume Relationship on Speculative Markets
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Multivariate Stochastic Variance Models
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stochastic Volatility Model with Filtering
- The Nonlinear Accelerator and the Persistence of Business Cycles