Treffer: PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS: Parameter estimation for a regime-switching mean-reverting model with jumps
Title:
PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS: Parameter estimation for a regime-switching mean-reverting model with jumps
Authors:
Source:
International Journal of Theoretical and Applied Finance. :791-806
Publisher Information:
World Scientific Pub Co Pte Lt, 2005.
Publication Year:
2005
Subject Terms:
Estimation and detection in stochastic control theory, filtering equations, Markov processes: estimation, hidden Markov models, Applications of stochastic analysis (to PDEs, etc.), jump process, Finance etc, 01 natural sciences, Filtering in stochastic control theory, Stochastic ordinary differential equations (aspects of stochastic analysis), Reference probability, reference probability, Reference probability, martingales, filtering equations, jump process, martingales, 0101 mathematics
Document Type:
Fachzeitschrift
Article
File Description:
application/xml
Language:
English
ISSN:
1793-6322
0219-0249
0219-0249
DOI:
10.1142/s0219024905003268
Access URL:
Accession Number:
edsair.doi.dedup.....a96e195b02cdd1d1369d3ecfa90a76f1
Database:
OpenAIRE
Weitere Informationen
In this paper we propose a type of mean reverting model with jumps, where the mean reverting level changes according to a continuous time, finite state Markov chain. This model could be applied to the interest rate and energy markets. We apply filtering techniques and obtain finite dimensional filters for the unobservable state of the Markov chain based on observations of the mean reverting diffusion. Various auxiliary filters are developed that allow us to estimate the parameters of the Markov chain by the EM algorithm. A simulation study is done for a concrete example.