Robust parameter estimation for asset price models with Markov modulated volatilities
R. J. Elliott; W. P. Malcolm; Allanus H. Tsoi
| Year of publication: |
2003
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|---|---|
| Authors: | Elliott, Robert J. R. ; Malcolm, W. P. ; Tsoi, Allanus H. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 27.2003, 8, p. 1391-1409
|
| Subject: | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | CAPM | Theorie | Theory | Martingal | Martingale |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001736104