Drift and volatility estimation in discrete time

DOI10.1016/S0165-1889(97)00052-3zbMATH Open0895.90047MaRDI QIDQ1389714FDOQ1389714

Authors: Robert J. Elliott, William C. Hunter, Barbara M. Jamieson 

Publication date: 30 June 1998

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Recommendations

• Robust parameter estimation for asset price models with Markov modulated volatilities
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
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zbMATH Keywords

parameter estimationhidden Markov modelsvolatilityfiltering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Estimating the implicit interest rate of a risky asset
• Almost sure parameter estimation and convergence rates for hidden Markov models
• Exact adaptive filters for Markov chains observed in Gaussian noise

Cited In (27)

• Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
• Parameter estimation in a regime-switching model when the drift and volatility are independent
• Efficient estimation of drift parameters in stochastic volatility models
• Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
• A high-order Markov-switching model for risk measurement
• PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
• Pricing exotic options under a high-order Markovian regime switching model
• Stochastic Volatility Model with Filtering
• Filtering of a multi-dimension stochastic volatility model
• An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects
• Adaptive estimation of the dynamics of a discrete time stochastic volatility model
• A BSDE approach to risk-based asset allocation of pension funds with regime switching
• Estimation of the volatility persistence in a discretely observed diffusion model
• General framework and model building in the class of hidden mixture transition distribution models
• A filtering approach to tracking volatility from prices observed at random times
• The optimal-drift model: an accelerated binomial scheme
• Title not available (Why is that?)
• Volatility estimation from short time series of stock prices
• On statistical indistinguishability of complete and incomplete discrete time market models
• Title not available (Why is that?)
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• A hidden Markov regime-switching model for option valuation
• VaR and expected shortfall: a non-normal regime switching framework
• Hidden Markov Chain Filtering for a Jump Diffusion Model
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Optimal refinancing strategy for mortgage rate with regime switching
• Forecasting latent volatility through a Markov chain approximation filter

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