Title :
Identification of bates stochastic volatility model by using non-central chi-square random generation method
Author :
Aihara, ShinIchi ; Bagchi, Arunabha ; Saha, Saikat
Author_Institution :
Tokyo Univ. of Sci., Nagano, Japan
Abstract :
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.
Keywords :
particle filtering (numerical methods); stochastic processes; Bates stochastic volatility model identification; noncentral chi-square random generation method; particle filter; Approximation methods; Computational modeling; Educational institutions; Hidden Markov models; Mathematical model; Stochastic processes; Upper bound; Chi-square distribution; Nonlinear filter; Parameter estimation; Particle filter; Stochastic volatility;
Conference_Titel :
Acoustics, Speech and Signal Processing (ICASSP), 2012 IEEE International Conference on
Conference_Location :
Kyoto
Print_ISBN :
978-1-4673-0045-2
Electronic_ISBN :
1520-6149
DOI :
10.1109/ICASSP.2012.6288771
