On filtering and estimation of a threshold stochastic volatility model

DOI10.1016/J.AMC.2011.05.052MaRDI QIDQ658656zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu

Publication date 13 January 2012

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2011.05.052

zbMATH Keywords

EM algorithmfilteringstochastic volatilitychange of measuresreference probabilitythreshold principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3700075 (Why is no real title available?)
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• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• 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
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• Error bounds for the nonlinear filtering of signals with small diffusion coefficients
• Mathematical model and implementation of rational processing
• Multivariate Stochastic Variance Models
• Nonlinear filter estimation of volatility
• On the parameters estimation of continuous-time ARMA processes from noisy observations
• Stochastic Volatility Model with Filtering
• Tail behavior of a threshold autoregressive stochastic volatility model
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(14)

• Kalman filter-based modelling and forecasting of stochastic volatility with threshold
• A hidden Markov regime-switching smooth transition model
• Filtering a nonlinear stochastic volatility model
• Tail behavior of a threshold autoregressive stochastic volatility model
• Stochastic Volatility Model with Filtering
• Nonlinear filter estimation of volatility
• An alternative sequential method for the state estimation of a partially observed SETAR(1) process
• Data cloning estimation for asymmetric stochastic volatility models
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• Filtering for some time series models by using transformation
• Filtering a Double Threshold Model With Regime Switching
• Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
• Hidden Markov models with threshold effects and their applications to oil price forecasting
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

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