Estimating the implicit interest rate of a risky asset
From MaRDI portal
Publication:1316597
DOI10.1016/0304-4149(94)90133-3zbMath0797.60036MaRDI QIDQ1316597
Robert J. Elliott, Raymond W. Rishel
Publication date: 10 October 1994
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(94)90133-3
stochastic differential equation; hidden Markov models; finite-dimensional filters; finite state Markov chain
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
60J60: Diffusion processes
Related Items
Some applications ofM-ary detection in quantitative finance, Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises, Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market, Optimal portfolio policies under bounded expected loss and partial information, Robust parameter estimation for asset price models with Markov modulated volatilities, Utility maximization with convex constraints and partial information, Optimal consumption and investment under partial information, Drift and volatility estimation in discrete time, PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS, Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Cites Work