| 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 |
|