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Drift and volatility estimation in discrete time

Author Info

Listed author(s):
  • Elliott, Robert J.
  • Hunter, William C.
  • Jamieson, Barbara M.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(97)00052-3
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 22 (1998)
    Issue (Month): 2 (February)
    Pages: 209-218

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    Handle: RePEc:eee:dyncon:v:22:y:1998:i:2:p:209-218
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Fama, Eugene F. & Gibbons, Michael R., 1984. "A comparison of inflation forecasts," Journal of Monetary Economics, Elsevier, vol. 13(3), pages 327-348, May.
    2. Elliott, Robert J. & Rishel, Raymond W., 1994. "Estimating the implicit interest rate of a risky asset," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 199-206, February.
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    Cited by:

    1. Bolano, Danilo & Berchtold, André, 2016. "General framework and model building in the class of Hidden Mixture Transition Distribution models," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 131-145.
    2. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
    3. Nikolai Dokuchaev, 2012. "On statistical indistinguishability of the complete and incomplete markets," Papers 1209.4695, arXiv.org, revised May 2013.
    4. Jak\v{s}a Cvitani\'c & Robert Liptser & Boris Rozovskii, 2006. "A filtering approach to tracking volatility from prices observed at random times," Papers math/0612212, arXiv.org.
    5. Nikolai Dokuchaev, 2015. "On statistical indistinguishability of complete and incomplete discrete time market models," Papers 1505.00638, arXiv.org.
    6. Stoyan Valchev, 2004. "Stochastic volatility Gaussian Heath-Jarrow-Morton models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(4), pages 347-368.
    7. Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu, 2012. "Viterbi-Based Estimation for Markov Switching GARCH Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(3), pages 219-231, August.
    8. Liew, Chuin Ching & Siu, Tak Kuen, 2010. "A hidden Markov regime-switching model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 374-384, December.

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