1. Adelaide Research & Scholarship
  2. Schools and Disciplines
  3. School of Mathematical Sciences
  4. Applied Mathematics
  5. Applied Mathematics publications
Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/499
Citations
Scopus Web of Science® Altmetric
?
?
Full metadata record
DC FieldValueLanguage
dc.contributor.authorElliott, R.-
dc.contributor.authorMalcolm, W.-
dc.contributor.authorTsoi, A.-
dc.date.issued2003-
dc.identifier.citationJournal of Economic Dynamics and Control, 2003; 27(8):1391-1409-
dc.identifier.issn0165-1889-
dc.identifier.urihttp://hdl.handle.net/2440/499-
dc.descriptionCopyright © 2002 Elsevier Science B.V. All rights reserved.-
dc.description.abstractIn 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.-
dc.description.statementofresponsibilityR. J. Elliott, W. P. Malcolm, and Allanus H. Tsoi-
dc.description.urihttp://www.elsevier.com/wps/find/journaldescription.cws_home/505547/description#description-
dc.language.isoen-
dc.publisherElsevier Science BV-
dc.source.urihttp://dx.doi.org/10.1016/s0165-1889(02)00064-7-
dc.subjectReference probability-
dc.subjectMartingales-
dc.subjectForwards and backwards Duncan–Mortenson–Zakai equations-
dc.titleRobust parameter estimation for asset price models with Markov modulated volatilities-
dc.typeJournal article-
dc.identifier.doi10.1016/S0165-1889(02)00064-7-
pubs.publication-statusPublished-
Appears in Collections:Applied Mathematics publications
Aurora harvest 6

Files in This Item:
There are no files associated with this item.
Show simple item record


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.