Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4630824 | Applied Mathematics and Computation | 2011 | 15 Pages |
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
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu,