Stochastic Volatility Model with Filtering

DOI10.1080/07362990600629389zbMath1136.60353MaRDI QIDQ5478920

Robert J. Elliott, Hong Miao

Publication date: 13 July 2006

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

Full work available at URL: https://doi.org/10.1080/07362990600629389

zbMATH Keywords

EM algorithm; Markov switching; Filtering; Stochastic volatility

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60J05: Discrete-time Markov processes on general state spaces

60G35: Signal detection and filtering (aspects of stochastic processes)

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