Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility

DOI10.1007/978-1-4899-7442-6_10zbMath1407.62394OpenAlexW50605959MaRDI QIDQ4562483

Xiaojing Xi, Rogemar S. Mamon

Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_10

zbMATH Keywords

Markov chainfinancial time seriesGARCH modelasset pricerisky asset

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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