Simulation Monte Carlo methods to extended stochastic volatility models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F01%3A00064613" target="_blank" >RIV/49777513:23520/01:00064613 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Simulation Monte Carlo methods to extended stochastic volatility models
Original language description
A new technique for nonlinear state and parameter estimation of the discrete time stochastic volatility models is developed. Algorithm of Gibbs sampler and simulation filters are used to construct a simulation tool that reflects both inherent model variability and parameter uncertainty. The proposed chain converges to equilibrium enabling to estimate the unobserved volatilities and unknown model parameters distributions. The estimation algorithm is demonstrated in a numerical example.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA102%2F01%2F0021" target="_blank" >GA102/01/0021: Nonlinear estimation and change detection for stochastic systems</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2001
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Simulation Monte Carlo methods to extended stochastic volatility models
ISBN
3906454266
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
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Publisher name
Academic Press
Place of publication
Millet
Event location
Millet
Event date
Jan 1, 2001
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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