On parameter estimation of stochastic volatility models from stock data using particle filter -application to aex index-

International Journal of Innovative Computing, Information and Control

Volumn 5, Issue 1, 2009, Pages 17-27

  Aihara, Shin Ichi ^a   Bagchi, Arunabha ^b   Saha, Saikat ^c  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b Nagano ^*  (Japan)

^c UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

AEX index; Heston model; Parameter estimation; Particle filter; Stochastic volatility

Indexed keywords

EID: 64349093073     PISSN: 13494198     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (11)

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