ESTIMATING THE IMPLICIT INTEREST-RATE OF A RISKY ASSET

被引：14
|
作者：
ELLIOTT, RJ [1 ]
RISHEL, RW [1 ]
机构：
[1] UNIV KENTUCKY,DEPT MATH,LEXINGTON,KY 40506
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1994年 / 49卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
D O I：
10.1016/0304-4149(94)90133-3
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Hidden Markov Models provide an adaptive method of estimating random quantities, that is, they not only consider the quantity under investigation but also revise the parameters of the model. Results of a recent paper are used to determine the implicit interest rate of an asset whose value is given by an equation in log-normal form.
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页码：199 / 206
页数：8
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