Filtering and identification of stochastic volatility for parabolic type factor models

ShinIchi Aihara, Arunabha Bagchi

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    Abstract

    We consider the dynamics of forward rate process which is modeled by a parabolic type infinite-dimensional factor model with stochastic volatility. The parameters included in the stochastic volatility dynamics are estimated from the factor process as the observation data. Based on the maximum likelihood technique, we propose the off-line identification scheme and provide some numerical examples.
    Original languageUndefined
    Pages (from-to)1-9
    Number of pages9
    JournalInternational journal of innovative computing, information and control
    Volume2
    Issue number2/5
    Publication statusPublished - Oct 2006

    Keywords

    • METIS-238080
    • EWI-6112
    • IR-66192

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