Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman

Autor:	Claudia Estrella Castillo Ramírez
Rok vydání:	2010
Předmět:	Stochastic volatility diffusion process jel:D1 jel:G13 jel:G11
Zdroj:	Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics). 4(1):64-75
Popis:	This paper is aimed to examine the relationship between stochastic volatility and the stationary probability density through the Fokker-Planck equation. The proposed stochastic process to lead volatility extends the research from Grajales-Correa, Pérez-Ramírez and Venegas-Martínez (2008), and Oztukel and Wilmott (1998), so that the parameters of the volatility process are dependent on time, in which case the Kalman’s (1960) filter should be used for estimation purposes
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::2fa1f60f7c3efc40dca6fe85663797fe http://alejandria.ccm.itesm.mx/egap/documentos/2010V4A5Castillo.pdf Zobrazit plný text záznamu