Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models

DOI10.1111/1467-9469.00332MaRDI QIDQ4828200zbMATH OpenOpenAlexFDO

Authors V. Genon-Catalot, Thierry Jeantheau, Catherine Larédo

Publication date 24 November 2004

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00332

zbMATH Keywords

conditional likelihoodhidden Markov modeldiffusion processstochastic volatilityparametric inferencediscrete time observations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 799018 (Why is no real title available?)
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Complete Models with Stochastic Volatility
• Estimation of stochastic volatility models with diagnostics
• Limit theorems for discretely observed stochastic volatility models
• Maximum-likelihood estimation for hidden Markov models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On White Noises Driven by Hidden Markov Chains
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Volume, volatility, and leverage: A dynamic analysis

Cited in

(7)

• Leroux's method for general hidden Markov models
• Stochastic volatility models as hidden Markov models and statistical applications
• Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
• Goodness-of-fit based on downsampling with applications to linear drift diffusions
• Composite likelihood under hidden Markov model
• An introduction to particle methods with financial applications
• Parametric estimation of hidden stochastic model by contrast minimization and deconvolution

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