Stochastic Volatility Model and Non-Linear Filtering Application

Ramaprasad Bhar
Additional contact information
Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 10 in Stochastic Filtering with Applications in Finance, 2010, pp 257-283 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Background to Stochastic Volatility ModelsStochastic Volatility Models of Short-term Interest RatesSV-ARMA SpecificationExogenous VariablesData for AnalysisAnalysis of Estimation ResultsComparison of Volatility EstimatesOutline of State Space Model Estimation via MCLConcluding Summary

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814304863_0010 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814304863_0010 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814304863_0010

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().