| Article ID: | iaor20116792 |
| Volume: | 22 |
| Issue: | 3 |
| Start Page Number: | 195 |
| End Page Number: | 211 |
| Publication Date: | Jun 2011 |
| Journal: | IMA Journal of Management Mathematics |
| Authors: | Date P, Ponomareva K |
| Keywords: | time series & forecasting methods |
This paper presents a review of time series filtering and its applications in mathematical finance. A summary of results of recent empirical studies with market data are presented for yield curve modelling and stochastic volatility modelling. The paper also outlines different approaches to filtering of non‐linear time series.