Pages that link to "Item:Q1389714"
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The following pages link to Drift and volatility estimation in discrete time (Q1389714):
Displayed 14 items.
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- A filtering approach to tracking volatility from prices observed at random times (Q862222) (← links)
- Pricing exotic options under a high-order Markovian regime switching model (Q933877) (← links)
- A high-order Markov-switching model for risk measurement (Q980081) (← links)
- General framework and model building in the class of hidden mixture transition distribution models (Q1660196) (← links)
- A BSDE approach to risk-based asset allocation of pension funds with regime switching (Q1945100) (← links)
- Filtering of a Multi-Dimension Stochastic Volatility Model (Q3005154) (← links)
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS (Q3022050) (← links)
- VaR and expected shortfall: a non-normal regime switching framework (Q3182749) (← links)
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273) (← links)
- Volatility estimation from short time series of stock prices (Q5419471) (← links)
- Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (Q5421608) (← links)
- Stochastic Volatility Model with Filtering (Q5478920) (← links)
- On statistical indistinguishability of complete and incomplete discrete time market models (Q6089405) (← links)