Filtering of a Multi-Dimension Stochastic Volatility Model

DOI10.1080/07362994.2011.548986zbMath1217.60032OpenAlexW2084804212MaRDI QIDQ3005154

Shangzhen Luo

Publication date: 7 June 2011

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.548986

zbMATH Keywords

EM algorithmstochastic volatilityhidden Markov modelfiltering

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)

Related Items (1)

An optimal investment model with Markov-driven volatilities

Cites Work

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