Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

DOI10.3934/DCDSB.2017003MaRDI QIDQ523969zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 25 April 2017

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2017003

zbMATH Keywords

hidden Markov modelsfilteringstochastic volatilityconditional sub-linear expectationsdrift and volatility uncertaintiesmodified reference probability approach

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Stochastic Volatility Model with Filtering
• Filtering a nonlinear stochastic volatility model
• An asset pricing model with mean reversion and regime switching stochastic volatility
• Filtering of a multi-dimension stochastic volatility model
• Robust parameter estimation for asset price models with Markov modulated volatilities

Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Filtering With Uncertain Noise
• Filtering a nonlinear stochastic volatility model
• Filtering via Simulation: Auxiliary Particle Filters
• Financial returns modelled by the product of two stochastic processes -- a study of daily sugar prices, 1961--79
• Generalized autoregressive conditional heteroscedasticity
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Nonlinear filter estimation of volatility
• On filtering and estimation of a threshold stochastic volatility model
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Robustness
• Statistical methods in finance
• Stochastic Volatility Model with Filtering
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stock price distributions with stochastic volatility: an analytic approach
• The Price Variability-Volume Relationship on Speculative Markets
• The pricing of options on assets with stochastic volatilities
• Viterbi-based estimation for Markov switching GARCH model
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(4)

• Stochastic filtering in regime-switching models: econometric properties, discretization and convergence
• An asset pricing model with mean reversion and regime switching stochastic volatility
• ADOPTION OF VIBRATION OF FUZZY PARTIAL FRACTIONAL-ORDER EQUATION IN MONITORING OF NOISE BIG DATA UNDER INFINITE IMPULSE RESPONSE DIGITAL FILTER ALGORITHM
• Backward stochastic differential equations with regime-switching and sublinear expectations

This page was built for publication: Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q523969)