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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/28971
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dc.contributor.authorElliott, R.-
dc.contributor.authorMalcolm, W.-
dc.contributor.authorTsoi, A.-
dc.contributor.editorHitay Ozbay,-
dc.date.issued2002-
dc.identifier.citationProceedings 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-
dc.identifier.isbn0780375165-
dc.identifier.urihttp://hdl.handle.net/2440/28971-
dc.descriptionCopyright © 2002 IEEE-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityElliott, R.J.; Malcolm, W.P.; Tsoi, A. Haskayne-
dc.language.isoen-
dc.publisherInstitute of Electrical and Electronics Engineers, Inc-
dc.titleHMM volatility estimation-
dc.typeConference paper-
dc.contributor.conferenceIEEE Conference on Decision and Control (41st : 2002 : Las Vegas, Nevada)-
dc.publisher.placeUSA-
pubs.publication-statusPublished-
Appears in Collections:Applied Mathematics publications
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