Elliott, RobertLiew, Chuin ChingSiu, Tak Kuen2012-06-132012-06-132011Robert 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 61-75.0096-3003http://hdl.handle.net/1880/48997Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.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.engStochastic volatilityThreshold principleFilteringChange of measuresReference probabilityEM algorithmjournal article10.11575/PRISM/34086