A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE (Q3421819)

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A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE
scientific article

    Statements

    title
    A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE (English)
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    author
    Robert J. Elliott
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    Bing Han
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    publication date
    8 February 2007
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    zbMATH Keywords
    hidden Markov models
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    filtering
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    uncovered interest rate parity
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60J10
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    60J20
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    62M05
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    zbMATH DE Number
    5123440
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