Article ID Journal Published Year Pages File Type
4630824 Applied Mathematics and Computation 2011 15 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
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