Estimating parameters of a stochastic volatility model using the expectation-maximization algorithm coupled with a Gaussian particle filter
Tanit Malakorn Department of Electrical and Computer Engineering, Naresuan University, Phitsanulok, Thailand Thanapat Iamtan National Science and Technology Development Agency, Pathum Thani, Thailand DOI: https://doi.org/10.14456/apst.2018.17 Keywords: Maximum likelihood Parameter estimation Bootstrap filter Daily exchange rates Abstract In this paper, the expectation-maximization algorithm coupled with a Gaussian particle filter for maximum likelihood parameter estimation of a […]