Stochastic Volatility Model with Filtering

DOI10.1080/07362990600629389zbMath1136.60353OpenAlexW2039073113MaRDI QIDQ5478920

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) Discrete-time Markov processes on general state spaces (60J05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (8)

VaR and expected shortfall: a non-normal regime switching framework ⋮ Kalman type filter under stationary noises ⋮ A filter for a hidden Markov chain observed in fractional Gaussian noise ⋮ Filtering a nonlinear stochastic volatility model ⋮ On filtering and estimation of a threshold stochastic volatility model ⋮ Filtering of a Multi-Dimension Stochastic Volatility Model ⋮ Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations ⋮ An optimal investment model with Markov-driven volatilities

Cites Work

• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Drift and volatility estimation in discrete time
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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