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Identification of Bates Stochastic Volatility Model by Using Non-Central Chi-Square Random Generation Method
Tokyo University of Science, Japan.
Twente University, Netherlands.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
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)
Abstract [en]

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.
Keyword [en]
Nonlinear filter, Particle filter, Stochastic volatility, Parameter estimation, Chi-square distribution
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-79600DOI: 10.1109/ICASSP.2012.6288771ISBN: 978-1-4673-0044-5ISBN: 978-1-4673-0045-2OAI: diva2:543910
37th International Conference on Acoustics, Speech, and Signal Processing, Kyoto, Japan, 25-30 March, 2012
Available from: 2012-10-15 Created: 2012-08-10 Last updated: 2013-07-10Bibliographically approved

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Saha, Saikat
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Automatic ControlThe Institute of Technology
Control Engineering

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