On filtering and estimation of a threshold stochastic volatility model | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/143451

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Title: On filtering and estimation of a threshold stochastic volatility model
Related: Applied mathematics and computation, Vol. 218, No. 1, (2011), p.61-75
DOI: 10.1016/j.amc.2011.05.052
Publisher: Elsevier
Date: 2011
Author/Creator: Elliott, Robert J
Author/Creator: Liew, Chuin Ching
Author/Creator: Siu, T.K
Description: We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we derive a nonlinear filter for the hidden volatility and related quantities. The filter-based estimates for the unknown parameters are then obtained from the EM algorithm.
Description: 15 page(s)
Subject Keyword: Change of measures
Subject Keyword: EM algorithm
Subject Keyword: Filtering
Subject Keyword: Reference probability
Subject Keyword: Stochastic volatility
Subject Keyword: Threshold principle
Resource Type: journal article
Organisation: Macquarie University. Dept. of Mathematics
Organisation: Macquarie University. Dept. of Applied Finance and Actuarial Studies

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