bibtype |
V -
Research Report
|
ARLID |
0314961 |
utime |
20240111140710.2 |
mtime |
20081121235959.9 |
title
(primary) (eng) |
Volatility extraction using the Kalman filter |
publisher |
place |
Praha |
name |
IES FSV UK |
pub_time |
2008 |
|
specification |
page_count |
20 s. |
media_type |
www |
|
edition |
name |
Research Report |
volume_id |
10 |
|
title
(cze) |
Extrakce volatility pomocí Kalmanova filtru |
keyword |
volatility |
keyword |
Kalman filter |
author
(primary) |
ARLID |
cav_un_auth*0244005 |
name1 |
Kuchyňka |
name2 |
Alexandr |
institution |
UTIA-B |
fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
source |
|
cas_special |
project |
project_id |
LC06075 |
agency |
GA MŠk |
country |
CZ |
ARLID |
cav_un_auth*0227048 |
|
research |
CEZ:AV0Z10750506 |
abstract
(eng) |
This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the finite sample distribution of the proxy. |
abstract
(cze) |
Práce se zabývá modelováním volatility finančních výnosů. |
reportyear |
2009 |
RIV |
AH |
mrcbC52 |
4 O 4o 20231122133744.0 |
permalink |
http://hdl.handle.net/11104/0165316 |
arlyear |
2008 |
mrcbTft |
\nSoubory v repozitáři: 0314961.pdf |
mrcbU10 |
2008 |
mrcbU10 |
Praha IES FSV UK |
mrcbU56 |
pdf |
|