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

ShinIchi Aihara; Arunabha Bagchi; S. Saha

doi:10.1109/ICASSP.2012.6288771

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 proceeding › Conference contribution › Academic › peer-review

2 Citations (Scopus)

24 Downloads (Pure)

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 language	Undefined
Title of host publication	Proceedings of the 2012 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP)
Place of Publication	USA
Publisher	IEEE
Pages	3905-3908
Number of pages	4
ISBN (Print)	978-1-4673-0045-2
DOIs	https://doi.org/10.1109/ICASSP.2012.6288771
Publication status	Published - 2012
Event	IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012 - Kyoto, Japan Duration: 25 Mar 2012 → 30 Mar 2012

Publication series

Name
Publisher	IEEE Computer Society
ISSN (Print)	1520-6149

Conference

Conference	IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012
Abbreviated title	ICASSP
Country/Territory	Japan
City	Kyoto
Period	25/03/12 → 30/03/12

Keywords

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

Access to Document

10.1109/ICASSP.2012.6288771

http://eprints.eemcs.utwente.nl/secure2/23057/01/06288771.pdf

Cite this

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

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.",

keywords = "EWI-23057, Nonlinear filter, Stochastic volatility, METIS-296294, Parameter estimation, IR-84156, Chi-square distribution, Particle filter",

author = "ShinIchi Aihara and Arunabha Bagchi and S. Saha",

note = "10.1109/ICASSP.2012.6288771 ; IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012 ; Conference date: 25-03-2012 Through 30-03-2012",

year = "2012",

doi = "10.1109/ICASSP.2012.6288771",

language = "Undefined",

isbn = "978-1-4673-0045-2",

publisher = "IEEE",

pages = "3905--3908",

booktitle = "Proceedings of the 2012 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP)",

address = "United States",

}

Aihara, S, Bagchi, A & Saha, S 2012, Identification of Bates stochastic volatility model by using non-central chi-square random generation method. in Proceedings of the 2012 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP). IEEE, USA, pp. 3905-3908, IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012, Kyoto, Japan, 25/03/12. https://doi.org/10.1109/ICASSP.2012.6288771

Identification of Bates stochastic volatility model by using non-central chi-square random generation method. / Aihara, ShinIchi; Bagchi, Arunabha; Saha, S.
Proceedings of the 2012 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP). USA: IEEE, 2012. p. 3905-3908.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

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KW - EWI-23057

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KW - METIS-296294

KW - Parameter estimation

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KW - Chi-square distribution

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