Drift and volatility estimation in discrete time

DOI10.1016/S0165-1889(97)00052-3MaRDI QIDQ1389714zbMATH OpenFDO

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)

zbMATH Keywords

parameter estimationhidden Markov modelsvolatilityfiltering

Mathematics Subject Classification ID

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

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Cites work

• Almost sure parameter estimation and convergence rates for hidden Markov models
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Cited in

(27)

• Forecasting latent volatility through a Markov chain approximation filter
• 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
• A high-order Markov-switching model for risk measurement
• Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
• 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
• scientific article; zbMATH DE number 2133112 (Why is no real title available?)
• Volatility estimation from short time series of stock prices
• On statistical indistinguishability of complete and incomplete discrete time market models
• scientific article; zbMATH DE number 6002089 (Why is no real title available?)
• A hidden Markov regime-switching model for option valuation
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• Robust parameter estimation for asset price models with Markov modulated volatilities
• VaR and expected shortfall: a non-normal regime switching framework
• Hidden Markov Chain Filtering for a Jump Diffusion Model
• Optimal refinancing strategy for mortgage rate with regime switching

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