Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman

Claudia Estrella Castillo Ramírez ()
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Claudia Estrella Castillo Ramírez: Universidad Autónoma Metropolitana

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2010, vol. 4, issue 1, 64-75

Abstract: This paper is aimed to examine the relationship between stochastic volatility and the stationary probability density through the Fokker-Planck equation. The proposed stochastic process to lead volatility extends the research from Grajales-Correa, Pérez-Ramírez and Venegas-Martínez (2008), and Oztukel and Wilmott (1998), so that the parameters of the volatility process are dependent on time, in which case the Kalman’s (1960) filter should be used for estimation purposes

Keywords: Stochastic volatility; diffusion process (search for similar items in EconPapers)
JEL-codes: D1 G11 G13 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201005

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