On filtering and estimation of a threshold stochastic volatility model
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AbstractWe 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.
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.