Abstract:
We apply a robust form of filtering equations for a continuous time hidden Markov model to estimate the volatility of a risky asset. The robust form of the filters we con...Show MoreMetadata
Abstract:
We apply a robust form of filtering equations for a continuous time hidden Markov model to estimate the volatility of a risky asset. The robust form of the filters we consider offers substantial improvement over classical filtering by eliminating stochastic integrations completely. A simulation study is included to indicate the benefits.
Date of Conference: 10-13 December 2002
Date Added to IEEE Xplore: 10 March 2003
Print ISBN:0-7803-7516-5
Print ISSN: 0191-2216
Contents 