Drift and volatility estimation in discrete time

DOI10.1016/S0165-1889(97)00052-3zbMath0895.90047MaRDI QIDQ1389714

Robert J. Elliott, William C. Hunter, Barbara M. Jamieson

Publication date: 30 June 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

parameter estimationfilteringhidden Markov modelsvolatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (14)

VaR and expected shortfall: a non-normal regime switching framework ⋮ A filtering approach to tracking volatility from prices observed at random times ⋮ General framework and model building in the class of hidden mixture transition distribution models ⋮ On statistical indistinguishability of complete and incomplete discrete time market models ⋮ A BSDE approach to risk-based asset allocation of pension funds with regime switching ⋮ Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models ⋮ A hidden Markov regime-switching model for option valuation ⋮ Pricing exotic options under a high-order Markovian regime switching model ⋮ Filtering of a Multi-Dimension Stochastic Volatility Model ⋮ PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS ⋮ Volatility estimation from short time series of stock prices ⋮ Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises ⋮ A high-order Markov-switching model for risk measurement ⋮ Stochastic Volatility Model with Filtering

Cites Work

• Almost sure parameter estimation and convergence rates for hidden Markov models
• Estimating the implicit interest rate of a risky asset
• Exact adaptive filters for Markov chains observed in Gaussian noise

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