PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS

DOI10.1142/S0219024905003268zbMath1138.93423MaRDI QIDQ5704733

Robert J. Elliott, Ping Wu

Publication date: 15 November 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

martingalesjump processfiltering equationsreference probability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Pairs trading based on statistical variability of the spread process

Cites Work

• Unnamed Item
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Estimating variance from high, low and closing prices
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Option pricing when underlying stock returns are discontinuous
• A simple regime switching term structure model

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