SV Mixture, Classification Using EM Algorithm

Ahmed Hachicha, Fatma Hachicha and Afif Masmoudi

Asian Economic and Financial Review, 2013, vol. 3, issue 4, 553-559

Abstract: The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a tractable method for capturing certain market characteristics. To estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The second step is to adopt the clustering approach to classify the database into subsets (clusters).

Keywords: Mixture stochastic volatitlity model; Expectation-Maximization algorithm; Clustering approach. (search for similar items in EconPapers)
Date: 2013
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