Robust parameter estimation for asset price models with Markov modulated volatilities
Date
2003
Authors
Elliott, R.
Malcolm, W.
Tsoi, A.
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Journal article
Citation
Journal of Economic Dynamics and Control, 2003; 27(8):1391-1409
Statement of Responsibility
R. J. Elliott, W. P. Malcolm, and Allanus H. Tsoi
Conference Name
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.
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Copyright © 2002 Elsevier Science B.V. All rights reserved.