HMM volatility estimation
Date
2002
Authors
Elliott, R.
Malcolm, W.
Tsoi, A.
Editors
Hitay Ozbay,
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Conference paper
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
Statement of Responsibility
Elliott, R.J.; Malcolm, W.P.; Tsoi, A. Haskayne
Conference Name
IEEE Conference on Decision and Control (41st : 2002 : Las Vegas, Nevada)
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.
School/Discipline
Dissertation Note
Provenance
Description
Copyright © 2002 IEEE