Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices

• 成果类型: Article
• 署名作者: Johannes, Michael S.; Polson, Nicholas G.; Stroud, Jonathan R.
• 署名单位: Columbia University; University of Chicago; George Washington University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn110
• 发表日期: 2009
• 页码: 2759
• 关键词: maximum-likelihood-estimation; CONTINUOUS-TIME MODELS; stochastic volatility; risk premia; inference; approximation; specification; simulation; DYNAMICS; implicit

摘要

This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful for estimating latent states, forecasting volatility and returns, computing model diagnostics such as likelihood ratios, and parameter estimation. Our approach combines time-discretization schemes with Monte Carlo methods. It is quite general, applying in nonlinear and multivariate jump-diffusion models and models with nonanalytic observation equations. We provide a detailed analysis of the filter's performance, and analyze four applications: disentangling jumps from stochastic volatility, forecasting volatility, comparing models via likelihood ratios, and filtering using option prices and returns. (JEL C11, C13, C15, C51, C52, G11, G12, G17)