Identification of Bates Stochastic Volatility Model by Using Non-Central Chi-Square Random Generation Method
2012 (English)In: Proceedings of the 37th IEEE International Conference on Acoustics, Speech, and Signal Processing, 2012, , 4 p.3905-3908 p.Conference paper (Refereed)
We study the identification problem for Bates stochastic volatility model, which is widely used as the model of a stock in finance. By using the exact simulation method, a particle filter for estimating stochastic volatility and its systems parameters is constructed. Simulation studies for checking the feasibility of the developed scheme are demonstrated.
Place, publisher, year, edition, pages
2012. , 4 p.3905-3908 p.
Nonlinear filter, Particle filter, Stochastic volatility, Parameter estimation, Chi-square distribution
IdentifiersURN: urn:nbn:se:liu:diva-79600DOI: 10.1109/ICASSP.2012.6288771ISBN: 978-1-4673-0044-5ISBN: 978-1-4673-0045-2OAI: oai:DiVA.org:liu-79600DiVA: diva2:543910
37th International Conference on Acoustics, Speech, and Signal Processing, Kyoto, Japan, 25-30 March, 2012