Adelaide Research & Scholarship
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https://hdl.handle.net/2440/59870
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Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Elliott, R. | - |
| dc.contributor.author | Van Der Hoek, J. | - |
| dc.contributor.author | Valencia, J. | - |
| dc.date.issued | 2010 | - |
| dc.identifier.citation | Stochastic Analysis and Applications, 2010; 28(4):696-710 | - |
| dc.identifier.issn | 0736-2994 | - |
| dc.identifier.issn | 1532-9356 | - |
| dc.identifier.uri | http://hdl.handle.net/2440/59870 | - |
| dc.description.abstract | A discrete time nonlinear filter is used to estimate the volatility in a financial model. New filters are derived for sums of unobserved quantities and the EM algorithm applied to determine the parameters of the model. | - |
| dc.description.statementofresponsibility | Robert J. Elliott, John van der Hoek and Jorge Valencia | - |
| dc.language.iso | en | - |
| dc.publisher | Marcel Dekker Inc | - |
| dc.rights | © 2010 Informa plc | - |
| dc.source.uri | http://dx.doi.org/10.1080/07362994.2010.482841 | - |
| dc.subject | EM algorithm | - |
| dc.subject | Nonlinear filters | - |
| dc.subject | Reference probability approach | - |
| dc.subject | Time series | - |
| dc.subject | Volatility | - |
| dc.title | Nonlinear filter estimation of volatility | - |
| dc.type | Journal article | - |
| dc.identifier.doi | 10.1080/07362994.2010.482841 | - |
| dc.relation.grant | ARC | - |
| pubs.publication-status | Published | - |
| Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications | |
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