On filtering and estimation of a threshold stochastic volatility model
Date
2011
Authors
Elliott, R.
Liew, C.
Siu, T.
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Journal article
Citation
Applied Mathematics and Computation, 2011; 218(1):61-75
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Robert J. Elliott, Chuin Ching Liew and Tak Kuen Siu
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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. (C) 2011 Elsevier Inc. All rights reserved.
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Copyright © 2011 Elsevier B.V. All rights reserved