Identification of Bates stochastic volatility model by using non-central chi-square random generation method

ShinIchi Aihara, Arunabha Bagchi, S. Saha

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    2 Citations (Scopus)

    Abstract

    We study the identification problem for Bates stochastic volatility model, which is widely used as the model of a stockin finance. By using the exact simulation method, a particlefilter for estimating stochastic volatility and its systems parameters is constructed. Simulation studies for checking the feasibility of the developed scheme are demonstrated.
    Original languageUndefined
    Title of host publicationProceedings of the 2012 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP)
    Place of PublicationUSA
    PublisherIEEE Computer Society
    Pages3905-3908
    Number of pages4
    ISBN (Print)978-1-4673-0045-2
    DOIs
    Publication statusPublished - 2012
    EventIEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012 - Kyoto, Japan
    Duration: 25 Mar 201230 Mar 2012

    Publication series

    Name
    PublisherIEEE Computer Society
    ISSN (Print)1520-6149

    Conference

    ConferenceIEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012
    Abbreviated titleICASSP
    CountryJapan
    CityKyoto
    Period25/03/1230/03/12

    Keywords

    • EWI-23057
    • Nonlinear filter
    • Stochastic volatility
    • METIS-296294
    • Parameter estimation
    • IR-84156
    • Chi-square distribution
    • Particle filter

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