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| Type: | Conference paper |
| Title: | HMM volatility estimation |
| Author: | Elliott, R. Malcolm, W. Tsoi, A. |
| Citation: | Proceedings of the 41st IEEE Conference on Decision and Control : December 10-13, 2002, the Venetian Hotel, Las Vegas, Nevada, USA / vol. 1, pp.398-404 |
| Publisher: | Institute of Electrical and Electronics Engineers, Inc |
| Publisher Place: | USA |
| Issue Date: | 2002 |
| ISBN: | 0780375165 |
| Conference Name: | IEEE Conference on Decision and Control (41st : 2002 : Las Vegas, Nevada) |
| Editor: | Hitay Ozbay |
| Statement of Responsibility: | Elliott, R.J.; Malcolm, W.P.; Tsoi, A. Haskayne |
| Abstract: | We apply a robust form of filtering equations for a continuous time hidden Markov model to estimate the volatility of a risky asset. The robust form of the filters we consider offers substantial improvement over classical filtering by eliminating stochastic integrations completely. A simulation study is included to indicate the benefits. |
| Description: | Copyright © 2002 IEEE |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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