Hidden Markov models for scenario generation

DOI10.1093/IMAMAN/DPM026MaRDI QIDQ3534992zbMATH OpenOpenAlexFDO

Authors Enza Messina, Daniele Toscani

Publication date 10 November 2008

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpm026

zbMATH Keywords

tablessimulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)

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Cited in

(4)

• Regime switching volatility calibration by the Baum-Welch method
• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• HMM based scenario generation for an investment optimisation problem
• Pattern recognition using hidden Markov models in financial time series

Describes a project that uses

Uses Software

• OptiRisk

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