Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market

DOI10.1080/07362990500269765zbMATH Open1101.62099OpenAlexW2052247720MaRDI QIDQ5707906FDOQ5707906

Authors: Robert J. Elliott, Allanus H. Tsoi 

Publication date: 25 November 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500269765

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zbMATH Keywords

stopping timehidden Markov filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• Estimating the implicit interest rate of a risky asset
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Exact adaptive filters for Markov chains observed in Gaussian noise
• European option pricing when the riskfree interest rate follows a jump process

Cited In (3)

• Recursive estimation of a hidden Markov time
• Title not available (Why is that?)
• Characteristic functions and option valuation in a Markov chain market

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