Please use this identifier to cite or link to this item:
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
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

Files in This Item:
There are no files associated with this item.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.