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Found 2 essays matching the above criteria.

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

3. 2. Particle-based Parameter Inference in Stochastic Volatility Models: Batch vs. Online

   University essay from KTH/Matematisk statistik

   Author : Albin Toft; [2019]
   Keywords : Hidden Markov models; the PaRIS-algorithm; computational statistics; Monte Carlo simulation stochastic volatility models;

   Abstract : This thesis focuses on comparing an online parameter estimator to an offline estimator, both based on the PaRIS-algorithm, when estimating parameter values for a stochastic volatility model. By modeling the stochastic volatility model as a hidden Markov model, estimators based on particle filters can be implemented in order to estimate the unknown parameters of the model. READ MORE