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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, Published 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
Identifiers
URN: urn:nbn:se:liu:diva-79600DOI: 10.1109/ICASSP.2012.6288771ISBN: 978-1-4673-0044-5 (print)ISBN: 978-1-4673-0045-2 (print)OAI: oai:DiVA.org:liu-79600DiVA: diva2:543910
Conference
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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ICASSP_ABS(73 kB)972 downloads
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Saha, Saikat

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf