Essays about: "PaRIS-algoritm"

Found 1 essay containing the word PaRIS-algoritm.

  1. 1. Particle-based Stochastic Volatility in Mean model

    University essay from KTH/Matematisk statistik

    Author : Gustav Kövamees; [2019]
    Keywords : 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;

    Abstract : 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 volatility itself as an explanatory variable in the mean-equation. READ MORE