Hidden Markov models for scenario generation

DOI10.1093/IMAMAN/DPM026zbMATH Open1147.62075OpenAlexW2013165854MaRDI QIDQ3534992FDOQ3534992

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

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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)

Cited In (3)

• 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

Uses Software

• OptiRisk

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