Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/242258 
Year of Publication: 
2019
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 13 [Issue:] 3 [Publisher:] University of Economics, Faculty of Finance and Accounting [Place:] Prague [Year:] 2018 [Pages:] 21-36
Publisher: 
University of Economics, Faculty of Finance and Accounting, Prague
Abstract: 
Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump-Diffusion (SVJD) models are being explained. Three versions of the SIR particle filter with adapted proposal distributions to the jump occurrences, jump sizes, and both are derived and their performance is compared in a simulation study to the un-adapted particle filter. The filter adapted to both the jump occurrences and jump sizes achieves the best performance, followed in their respective order by the filter adapted only to the jump occurrences and the filter adapted only to the jump sizes. All adapted particle filters outperformed the un-adapted particle filter.
Subjects: 
Interest rate
Real Estate Investment Trust
REIT
JEL: 
G12
Persistent Identifier of the first edition: 
Document Type: 
Article

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