Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood

DOI10.1080/17415970903234398MaRDI QIDQ5852183zbMATH OpenOpenAlexFDO

Authors Paolo Capelli, Francesca Mariani, Maria Cristina Recchioni, Fabio Spinelli, Francesco Zirilli

Publication date 26 January 2010

Published in Inverse Problems in Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17415970903234398

zbMATH Keywords

calibration problemfiltering theorystochastic volatility model

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) Statistical methods; risk measures (91G70)

Recommendations

• Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
• The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods
• Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
• A stochastic-difference-equation model for hedge-fund returns
• A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A quadratically convergent method for linear programming
• Generalized autoregressive conditional heteroscedasticity
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
• On the ill-posedness and regularization of third-kind integral equations
• The pricing of options and corporate liabilities

Cited in

(2)

• A stochastic-difference-equation model for hedge-fund returns
• Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

Describes a project that uses

Uses Software

• meboot

This page was built for publication: Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5852183)