Parameter Estimation in a Regime-Switching Model with Non-normal Noise

DOI10.1007/978-1-4899-7442-6_11zbMath1407.62387OpenAlexW123476936MaRDI QIDQ4562484

Rogemar S. Mamon, Luka Jalen

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_11

zbMATH Keywords

parameter estimationregime-switching modelnon-normal noise

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (1)

Valuing guaranteed minimum accumulation benefits by a change of numéraire approach

Cites Work

• Unnamed Item
• Hidden Markov models in finance
• Adaptive signal processing of asset price dynamics with predictability analysis
• An examination of HMM-based investment strategies for asset allocation

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