Particle-based Stochastic Volatility in Mean model

Particle-based Stochastic Volatility in Mean model

This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of v...

Full description

Bibliographic Details
Main Author: Kövamees, Gustav
Format: Others
Language:English
Published: KTH, Matematisk statistik 2019
Subjects:
Stochastic volatility model
Volatility feedback theory
hidden Markov model
particle filter
Expectation-Maximization algorithm
PaRIS-algorithm
Stokastisk volatilitets modell
dold Markov modell
partikel-filter
Förväntan-Maximering algorithm
PaRIS-algoritm
volatilitets-återkopplings-teori
Mathematics
Matematik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-257505

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-257505

Similar Items