On filtering and estimation of a threshold stochastic volatility model.

Robert J. Elliott Chuin Ching Liew Tak Kuen Siu

Published in: Appl. Math. Comput. (2011)

Keyphrases

computational model
probabilistic model
parameter estimation
formal model
hybrid model
high level
em algorithm
theoretical framework
learning algorithm
stock market
parametric models
stochastic process