Estimating stochastic volatility via filtering for the micromovement of asset prices

@article{Zeng2004EstimatingSV,
  title={Estimating stochastic volatility via filtering for the micromovement of asset prices},
  author={Yong Zeng},
  journal={IEEE Transactions on Automatic Control},
  year={2004},
  volume={49},
  pages={338-348}
}
Under the general framework of a previous paper, a unified approach via filtering is developed to estimate stochastic volatility for micromovement models. The key feature of the models is that they can be transformed as filtering problems with counting process observations. In order to obtain trade-by-trade, real-time Bayes estimates of stochastic volatility, the Markov chain approximation method is applied to the filtering equation to construct a consistent recursive algorithm, which computes… CONTINUE READING

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