On filtering and estimation of a threshold stochastic volatility model
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- Applied Mathematics and Computation
دوره 218 شماره
صفحات -
تاریخ انتشار 2011