Robust parameter estimation for asset pr
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R.J. Elliott; W.P. Malcolm; Allanus H. Tsoi
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Article
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2003
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Elsevier Science
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English
⚖ 238 KB
In this paper, we apply a robust form of ÿltering equations for a continuous time hidden Markov model to estimate the volatility of a risky asset. The robust form of the ÿlters we consider o ers substantial improvement over classical ÿltering by completely eliminating stochastic integrations complet