• DocumentCode
    391121
  • Title

    HMM volatility estimation

  • Author

    Elliott, R.J. ; Malcolm, W.P. ; Tsoi, A.

  • Author_Institution
    Haskayne Sch. of Bus., Calgary Univ., Alta., Canada
  • Volume
    1
  • fYear
    2002
  • fDate
    10-13 Dec. 2002
  • Firstpage
    398
  • 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.
  • Keywords
    continuous time systems; filtering theory; finance; hidden Markov models; probability; Duncan-Mortenson-Zakai equations; backwards equations; continuous time hidden Markov model; forwards equations; martingales; volatility estimation; Filtering; Filters; Forward contracts; Hidden Markov models; Indexing; Integral equations; Markov processes; Mathematics; Robustness; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-7516-5
  • Type

    conf

  • DOI
    10.1109/CDC.2002.1184527
  • Filename
    1184527
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=391121