A hidden Markov multi-assets price model

zbMATH Open1132.91434MaRDI QIDQ5452389FDOQ5452389

Authors:

Publication date: 4 April 2008

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Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cited In (4)

• A comparison of single factor Markov-functional and multi factor market models
• Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
• Simulated Moments Estimation of Markov Models of Asset Prices
• A latent process model for the pricing of corporate securities

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