On filtering and estimation of a threshold stochastic volatility model

DOI10.1016/j.amc.2011.05.052zbMath1231.91486OpenAlexW2001323569MaRDI QIDQ658656

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 algorithmstochastic volatilityfilteringchange of measuresreference probabilitythreshold principle

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (4)

Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ A hidden Markov regime-switching smooth transition model ⋮ Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations ⋮ Data cloning estimation for asymmetric stochastic volatility models

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