Empirical Performance and Asset Pricing in Hidden Markov Models
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Publication:4434427
DOI10.1081/STA-120025389zbMath1028.62084MaRDI QIDQ4434427
Inchi Hu, Shih-Kuei Lin, Cheng-Der Fuh
Publication date: 6 November 2003
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
EM algorithmlong memoryleptokurticlikelihood estimationvolatility smileEuropean optionsMarkov switching modelstochastic volatility modelcluster phenomenon
Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
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