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Robust parameter estimation for asset price models with Markov modulated volatilities

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  • Elliott, R. J.
  • Malcolm, W. P.
  • Tsoi, Allanus H.

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  • Elliott, R. J. & Malcolm, W. P. & Tsoi, Allanus H., 2003. "Robust parameter estimation for asset price models with Markov modulated volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1391-1409, June.
    • Handle: RePEc:eee:dyncon:v:27:y:2003:i:8:p:1391-1409
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    References listed on IDEAS

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    1. Dembo, A. & Zeitouni, O., 1986. "Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 91-113, October.
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    Cited by:

    1. 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.
    2. Robert Elliott & Tak Siu, 2010. "On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy," Annals of Operations Research, Springer, vol. 176(1), pages 271-291, April.
    3. Vladimir Dombrovskii & Tatyana Obyedko, 2014. "Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control," Papers 1410.1136, arXiv.org.
    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. Leunglung Chan & Song-Ping Zhu, 2021. "An Analytic Approach for Pricing American Options with Regime Switching," JRFM, MDPI, vol. 14(5), pages 1-20, April.
    6. Leunglung Chan & Song-Ping Zhu, 2014. "An exact and explicit formula for pricing Asian options with regime switching," Papers 1407.5091, arXiv.org.
    7. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
    8. Zbigniew Palmowski & {L}ukasz Stettner & Anna Sulima, 2018. "Optimal portfolio selection in an It\^o-Markov additive market," Papers 1806.03496, arXiv.org.
    9. 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.
    10. 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.
    11. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
    12. Robert Elliott & Leunglung Chan & Tak Siu, 2006. "Risk measures for derivatives with Markov-modulated pure jump processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 129-149, June.
    13. Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.
    14. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
    15. Zbigniew Palmowski & Łukasz Stettner & Anna Sulima, 2019. "Optimal Portfolio Selection in an Itô–Markov Additive Market," Risks, MDPI, vol. 7(1), pages 1-32, March.
    16. Robert Elliott & Tak Siu & Leunglung Chan, 2008. "A PDE approach for risk measures for derivatives with regime switching," Annals of Finance, Springer, vol. 4(1), pages 55-74, January.

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