Drift and volatility estimation in discrete time

Journal of Economic Dynamics and Control

Volumn 22, Issue 2, 1998, Pages 209-218

  Elliott, Robert J ^a   Hunter, William C ^b   Jamieson, Barbara M ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

^b FEDERAL RESERVE BANK OF CHICAGO   (United States)

Author keywords

Filtering; Hidden Markov Models; Parameter estimation; Volatility

Indexed keywords

EID: 0031993063     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00052-3     Document Type: Article

References (4)

1. Elliott, R.J., 1994. Exact adaptive filters for Markov chains observed in Gaussian noise. Automatica 30, 1399-1408.
2. Elliott, R.J., Aggoun, L., Moore, J.B., 1994. Hidden Markov models: estimation and control. In: Applications of Mathematics, vol. 29, Springer, New York.
3. Elliott, R.J., Rishel, R.W., 1994. Estimating the implicit interest rate of a risky asset. Stochastic Processes and Applications 49, 199-206.
4. Fama, E.F., Gibbons, M.R., 1984. A comparison of inflation forecasts. Journal of Monetary Economics 13, 327-348.