Please use this identifier to cite or link to this item: http://hdl.handle.net/1880/48997
Title: On filtering and estimation of a threshold stochastic volatility model
Authors: Elliott, Robert
Liew, Chuin Ching
Siu, Tak Kuen
Keywords: Stochastic volatility;Threshold principle
Issue Date: 2011
Publisher: Elsevier
Citation: Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu, On filtering and estimation of a threshold stochastic volatility model, Applied Mathematics and Computation, Volume 218, Issue 1, 1 September 2011, Pages 61-75.
Abstract: 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: Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.
URI: http://hdl.handle.net/1880/48997
ISSN: 0096-3003
Appears in Collections:Elliott, Robert

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