Stochastic Volatility Model with Filtering

DOI10.1080/07362990600629389MaRDI QIDQ5478920zbMATH OpenOpenAlexFDO

Authors 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 algorithmMarkov switchingFilteringStochastic volatility

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Discrete-time Markov processes on general state spaces (60J05)

Recommendations

• Filtering of a multi-dimension stochastic volatility model
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• Bayesian analysis of stochastic volatility models
• On filtering and estimation of a threshold stochastic volatility model
• Filtering a nonlinear stochastic volatility model

Cites work

• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• 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
• Drift and volatility estimation in discrete time
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates

Cited in

(20)

• Forecasting latent volatility through a Markov chain approximation filter
• On filtering and estimation of a threshold stochastic volatility model
• Implied filtering densities on the hidden state of stochastic volatility
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• Kalman filter-based modelling and forecasting of stochastic volatility with threshold
• Proper dispersion state space models for stochastic volatility
• Regime switching volatility calibration by the Baum-Welch method
• State-space stochastic volatility models: A review of estimation algorithms
• Filtering a nonlinear stochastic volatility model
• Filtering of a multi-dimension stochastic volatility model
• Filtering for partially observed diffusion and its applications
• An optimal investment model with Markov-driven volatilities
• A filtering approach to tracking volatility from prices observed at random times
• Kalman type filter under stationary noises
• A filter for a hidden Markov chain observed in fractional Gaussian noise
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• VaR and expected shortfall: a non-normal regime switching framework
• Estimation of stochastic volatility models via auxiliary particles filter
• An asset pricing model with mean reversion and regime switching stochastic volatility
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

This page was built for publication: Stochastic Volatility Model with Filtering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5478920)