On filtering and estimation of a threshold stochastic volatility model

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorLiew, Chuin Chingeng
dc.contributor.authorSiu, Tak Kueneng
dc.date.accessioned2012-06-13T21:27:15Z
dc.date.available2012-06-13T21:27:15Z
dc.date.issued2011
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.eng
dc.description.abstractWe 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.eng
dc.description.refereedYeseng
dc.identifier.citationRobert J. Elliott, Chuin Ching Liew, Tak Kuen Siu, On filtering and estimation of a threshold stochastic volatility model, Applied Mathematics and Computation, Volume 218, Issue 1, 1 September 2011, Pages 61-75.eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34086
dc.identifier.issn0096-3003
dc.identifier.urihttp://hdl.handle.net/1880/48997
dc.language.isoengeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://www.journals.elsevier.com/applied-mathematics-and-computation/eng
dc.subjectStochastic volatilityeng
dc.subjectThreshold principleeng
dc.subject.otherFilteringeng
dc.subject.otherChange of measureseng
dc.subject.otherReference probabilityeng
dc.subject.otherEM algorithmeng
dc.titleOn filtering and estimation of a threshold stochastic volatility modeleng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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