Extracting volatility signal using maximum a posteriori estimation

DOI10.1016/J.PHYSA.2016.05.065zbMath1400.91353OpenAlexW2423323953MaRDI QIDQ1619844

David Neto

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.05.065

zbMATH Keywords

hidden Markov modelvolatilitymaximum a posteriori estimatorrealized volatilityIDM algorithmLaplace process

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Markov and semi-Markov decision processes (90C40)

Cites Work

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• On the Kullback-Leibler information divergence of locally stationary processes
• Ideal spatial adaptation by wavelet shrinkage
• The Distribution of Realized Exchange Rate Volatility
• Non‐stationary non‐parametric volatility model
• On the Statistical Analysis of Smoothing by Maximizing Dirty Markov Random Field Posterior Distributions

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