IEEE - Institute of Electrical and Electronics Engineers, Inc. - Particle Filtering of Stochastic Volatility Modeled With Leverage

Author(s): P. M. Djuric ; M. Khan ; D. E. Johnston
Sponsor(s): IEEE Signal Processing Society
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 August 2012
Volume: 6
Page Count: 10
Page(s): 327 - 336
ISSN (Paper): 1932-4553
ISSN (Online): 1941-0484
DOI: 10.1109/JSTSP.2012.2201695
Regular:

In this paper, we address univariate stochastic volatility models that allow for correlation of the perturbations in the state and observation equations, i.e., models with leverage. We propose a... View More

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