IDEAS home Printed from https://ideas.repec.org/a/spr/stmapp/v18y2009i1p87-107.html
   My bibliography  Save this article

An online estimation scheme for a Hull–White model with HMM-driven parameters

Author

Listed:
  • Christina Erlwein
  • Rogemar Mamon

Abstract

No abstract is available for this item.

Suggested Citation

  • Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
    • Handle: RePEc:spr:stmapp:v:18:y:2009:i:1:p:87-107
    DOI: 10.1007/s10260-007-0082-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10260-007-0082-4
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10260-007-0082-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kenc, Turalay & John Driffill & Martin Sola, 2003. "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003 119, Royal Economic Society.
    2. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
    3. Elisa Nicolato & Emmanouil Venardos, 2003. "Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type," Mathematical Finance, Wiley Blackwell, vol. 13(4), pages 445-466, October.
    4. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    5. Robert Elliott & Paul Fischer & Eckhard Platen, 1999. "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model," Research Paper Series 17, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    7. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, June.
    8. Fama, Eugene F. & Gibbons, Michael R., 1984. "A comparison of inflation forecasts," Journal of Monetary Economics, Elsevier, vol. 13(3), pages 327-348, May.
    9. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, April.
    10. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    11. Robert J. Elliott & William C. Hunter & Barbara M. Jamieson, 2001. "Financial Signal Processing: A Self Calibrating Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 567-584.
    12. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    13. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    14. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    15. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
    16. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
    17. Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
    18. Longstaff, Francis A & Schwartz, Eduardo S, 1992. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-1282, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhao, Yixing & Mamon, Rogemar & Gao, Huan, 2018. "A two-decrement model for the valuation and risk measurement of a guaranteed annuity option," Econometrics and Statistics, Elsevier, vol. 8(C), pages 231-249.
    2. Xi, Xiaojing & Mamon, Rogemar, 2011. "Parameter estimation of an asset price model driven by a weak hidden Markov chain," Economic Modelling, Elsevier, vol. 28(1-2), pages 36-46, January.
    3. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex, 2010. "On mean-variance portfolio selection under a hidden Markovian regime-switching model," Economic Modelling, Elsevier, vol. 27(3), pages 678-686, May.
    4. Xi, Xiaojing & Mamon, Rogemar, 2011. "Parameter estimation of an asset price model driven by a weak hidden Markov chain," Economic Modelling, Elsevier, vol. 28(1), pages 36-46.
    5. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
    6. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
    7. Peter Hieber, 2018. "Pricing exotic options in a regime switching economy: a Fourier transform method," Review of Derivatives Research, Springer, vol. 21(2), pages 231-252, July.
    8. Shen, Yang & Siu, Tak Kuen, 2013. "Pricing bond options under a Markovian regime-switching Hull–White model," Economic Modelling, Elsevier, vol. 30(C), pages 933-940.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
    2. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    3. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
    4. Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389.
    5. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
    6. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
    7. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Models of the Term Structure of Interest Rates: Review, Trends, and Perspectives," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
    8. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    9. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    10. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    11. de Jong, Frank, 2000. "Time Series and Cross-Section Information in Affine Term-Structure Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 300-314, July.
    12. repec:wyi:journl:002108 is not listed on IDEAS
    13. Robert J. Elliott & Tak Kuen Siu, 2016. "Pricing regime-switching risk in an HJM interest rate environment," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1791-1800, December.
    14. Zura Kakushadze, 2015. "Coping with Negative Short-Rates," Papers 1502.06074, arXiv.org, revised Aug 2015.
    15. repec:wyi:journl:002109 is not listed on IDEAS
    16. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
    17. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    18. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
    19. Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
    20. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
    21. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    22. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stmapp:v:18:y:2009:i:1:p:87-107. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.