On filtering and estimation of a threshold stochastic volatility model

DOI10.1016/J.AMC.2011.05.052zbMATH Open1231.91486OpenAlexW2001323569MaRDI QIDQ658656FDOQ658656

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

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)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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• Nonlinear Filter Estimation of Volatility
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• Tail behavior of a threshold autoregressive stochastic volatility model
• On the parameters estimation of continuous-time ARMA processes from noisy observations
• Error bounds for the nonlinear filtering of signals with small diffusion coefficients

Cited In (8)

• A hidden Markov regime-switching smooth transition model
• Tail behavior of a threshold autoregressive stochastic volatility model
• Data cloning estimation for asymmetric stochastic volatility models
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• 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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