Simulation Monte Carlo methods in extended stochastic volatility models

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F02%3A00074070" target="_blank" >RIV/49777513:23520/02:00074070 - isvavai.cz</a>

Alternative codes found

RIV/49777513:23520/02:00000066

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Simulation Monte Carlo methods in extended stochastic volatility models

Original language description

A new technique for nonlinear state and parameter estimation of discrete time stochastic volatility models is developed. Algorithms 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 the estimation of unobserved volatilities and unknown model parameter distributions. The estimation algorithm is illustrated using numerical parameter distributions.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BC - Theory and management systems

OECD FORD branch

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Project

<a href="/en/project/GA102%2F01%2F0021" target="_blank" >GA102/01/0021: Nonlinear estimation and change detection for stochastic systems</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2002

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

International Journal of Intelligent Systems in Accounting, Finance & Management

ISSN

1055615X

e-ISSN

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Volume of the periodical

Vol. 11

Issue of the periodical within the volume

č. 2

Country of publishing house

US - UNITED STATES

Number of pages

9

Pages from-to

109

UT code for WoS article

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EID of the result in the Scopus database

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