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

DOI10.1080/07362990500269765MaRDI QIDQ5707906zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Estimating the implicit interest rate of a risky asset
• European option pricing when the riskfree interest rate follows a jump process
• Exact adaptive filters for Markov chains observed in Gaussian noise
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Robust parameter estimation for asset price models with Markov modulated volatilities

Cited in

(3)

• Recursive estimation of a hidden Markov time
• scientific article; zbMATH DE number 7324849 (Why is no real title available?)
• Characteristic functions and option valuation in a Markov chain market

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