Drift and volatility estimation in discrete time

Article Abstract:

An estimation of the drift and volatility parameters of discrete time's risky price logarithm was undertaken to understand further the implicit interest rate of an uncertain asset. The two parameters identified were assumed to possess measurable values and to undergo processess comparable to a Markov chain. Application of the Hidden Markov models was done to attain the best estimation of the chain and the parameters of the model.

Economics, Research and Development in the Social Sciences and Humanities, Markov processes

---

Solving asset pricing models with Gaussian shocks

Article Abstract:

A closed-form solution was formulated to address the price-dividend ratio in a conventional asset pricing model with a Gaussian endowment. The solution proved to be effective since it permits the comparison of numerical procedures that are utilized to estimate the nontrivial closed form. The solution could also be applied on problems wherein a stochastic process is determined by a linear integral equation.

Econometrics & Model Building, Economic aspects, Econometrics, Assets (Accounting), Business models

---

An alternativve maximum likelihood estimator of long-memory processes using compactly supported wavelets

Article Abstract:

A model for an estimator of long-memory processes is presented.

United States, Statistical Data Included, Parameter estimation

Similar abstracts:

• Abstracts: Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt. Inventories, market structure, and price volatility
• Abstracts: Transitional dynamics of the search model with endogenous growth. Mitigating non-contractibility with interim randomization
• Abstracts: Mutually related firms and the rationality of producing nothing. Do firm and state antitakeover provisions affect how well CEOs earn their pay?
• Abstracts: A robust methodology for Ramsey pricing with an application to UK postal services. Are German money market rates well behaved?

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.