Stochastic Volatility Models as Hidden Markov Models and Statistical Applications

1 December 2000

journal article
Published by JSTOR in Bernoulli

Vol. 6 (6) , 1051
https://doi.org/10.2307/3318471

Abstract

This paper deals with the fixed sampling interval case for stochastic volatility models. We consider a two-dimensional diffusion process (Yt, Vt), where only (Y...

Keywords

HIDDEN MARKOV
STOCHASTIC VOLATILITY
VOLATILITY MODELS
MODELS AS HIDDEN

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