Filtering a nonlinear stochastic volatility model
Date
2012
Authors
Elliott, R.
Siu, T.
Fung, E.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Nonlinear Dynamics, 2012; 67(2):1295-1313
Statement of Responsibility
Robert J. Elliott, Tak Kuen Siu and Eric S. Fung
Conference Name
Abstract
We introduce a class of stochastic volatility models whose parameters are modulated by a hidden nonlinear dynamical system. Our aim is to incorporate the impact of economic cycles, or business cycles, into the long-term behavior of volatility dynamics. We develop a discrete-time nonlinear filter for the estimation of the hidden volatility and the nonlinear dynamical system based on return observations. By exploiting the technique of a reference probability measure we derive filters for the hidden volatility and the nonlinear dynamical system.
School/Discipline
Dissertation Note
Provenance
Description
Access Status
Rights
© Springer Science+Business Media B.V. 2011