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Drift and volatility estimation in discrete time

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  • 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. 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.
    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. 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.
    4. 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.
    5. Nikolai Dokuchaev, 2012. "On statistical indistinguishability of the complete and incomplete markets," Papers 1209.4695, arXiv.org, revised May 2013.
    6. Nikolai Dokuchaev, 2015. "On statistical indistinguishability of complete and incomplete discrete time market models," Papers 1505.00638, arXiv.org.
    7. 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.

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