Adelaide Research & Scholarship
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https://hdl.handle.net/2440/499
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| Type: | Journal article |
| Title: | Robust parameter estimation for asset price models with Markov modulated volatilities |
| Author: | Elliott, R. Malcolm, W. Tsoi, A. |
| Citation: | Journal of Economic Dynamics and Control, 2003; 27(8):1391-1409 |
| Publisher: | Elsevier Science BV |
| Issue Date: | 2003 |
| ISSN: | 0165-1889 |
| Statement of Responsibility: | R. J. Elliott, W. P. Malcolm, and Allanus H. Tsoi |
| Abstract: | In this paper, 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 completely eliminating stochastic integrations completely. A simulation study is included to indicate the benefits. |
| Keywords: | Reference probability Martingales Forwards and backwards Duncan–Mortenson–Zakai equations |
| Description: | Copyright © 2002 Elsevier Science B.V. All rights reserved. |
| DOI: | 10.1016/S0165-1889(02)00064-7 |
| Description (link): | http://www.elsevier.com/wps/find/journaldescription.cws_home/505547/description#description |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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