Algorithmic estimation of risk factors in financial markets with stochastic drift

被引：6
|
作者：
Hernandez, Janko
Saunders, David [1 ]
Seco, Luis [2 ]
机构：
[1] Univ Waterloo, Waterloo, ON N2L 3G1, Canada
[2] Univ Toronto, RiskLab, Toronto, ON M5S 1A1, Canada
来源：
COMPUTERS & OPERATIONS RESEARCH | 2012年 / 39卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Algorithmic estimation; Stochastic drift; Method of moments; Interest rates; Commodity prices; HIDDEN MARKOV-MODELS; TERM STRUCTURE; INTEREST-RATES;
D O I：
10.1016/j.cor.2010.09.007
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We assume a financial market governed by a diffusion process reverting to a stochastic mean which is itself governed by an unobservable ergodic diffusion, similar to those observed in electricity and other energy markets. We develop a moment method algorithm for the estimation of the parameters of both the observable process and the unobservable stochastic mean. Our approach is contrasted with other methods for parameter estimation of partially observed diffusions, and applications to the modelling of interest rates and commodity prices are discussed. (C) 2010 Elsevier Ltd. All rights reserved.
引用
收藏
页码：820 / 828
页数：9
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