On filtering and estimation of a threshold stochastic volatility model

Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)61-75
Number of pages15
JournalApplied Mathematics and Computation
Volume218
Issue number1
DOIs
Publication statusPublished - 1 Sep 2011

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