Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood

DOI10.1080/17415970903234398zbMath1183.91187OpenAlexW2071533152MaRDI QIDQ5852183

Francesca Mariani, Francesco Zirilli, Paolo Capelli, Fabio Spinelli, Maria Cristina Recchioni

Publication date: 26 January 2010

Published in: Inverse Problems in Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17415970903234398

zbMATH Keywords

calibration problemstochastic volatility modelfiltering theory

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Uses Software

• meboot

Cites Work

• The Pricing of Options and Corporate Liabilities
• A quadratically convergent method for linear programming
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
• Generalized autoregressive conditional heteroscedasticity
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On the ill-posedness and regularization of third-kind integral equations