Adelaide Research & Scholarship
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https://hdl.handle.net/2440/65706
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| Type: | Journal article |
| Title: | On filtering and estimation of a threshold stochastic volatility model |
| Author: | Elliott, R. Liew, C. Siu, T. |
| Citation: | Applied Mathematics and Computation, 2011; 218(1):61-75 |
| Publisher: | Elsevier Science Inc |
| Issue Date: | 2011 |
| ISSN: | 0096-3003 1873-5649 |
| Statement of Responsibility: | Robert J. Elliott, Chuin Ching Liew and Tak Kuen Siu |
| 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. © 2011 Elsevier Inc. All rights reserved. |
| Keywords: | Stochastic volatility Threshold principle Filtering Change of measures Reference probability EM algorithm |
| Rights: | Copyright © 2011 Elsevier B.V. All rights reserved |
| DOI: | 10.1016/j.amc.2011.05.052 |
| Grant ID: | http://purl.org/au-research/grants/arc/DP0877639 |
| Published version: | http://dx.doi.org/10.1016/j.amc.2011.05.052 |
| Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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