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

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3 Author(s)
Aihara, S. ; Tokyo Univ. of Sci., Nagano, Japan ; Bagchi, A. ; Saha, S.

We study the identification problem for Bates stochastic volatility model, which is widely used as the model of a stock in finance. By using the exact simulation method, a particle filter for estimating stochastic volatility and its systems parameters is constructed. Simulation studies for checking the feasibility of the developed scheme are demonstrated.

Published in:

Acoustics, Speech and Signal Processing (ICASSP), 2012 IEEE International Conference on

Date of Conference:

25-30 March 2012

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