Paper Review : “Parameter Estimation in a Stochastic Drift Hidden Markov Model with a Cap” by J. Hernandez, D. Saunders & L. Seco Anatoliy Swishchuk Math & Comp Finance Lab, Dept of Math & Stat, U of C “Lunch at the Lab” Talk February 3, 2006
Transcript
Paper Review: “Parameter Estimation in a
Stochastic Drift Hidden Markov Model with a Cap”
byJ. Hernandez, D. Saunders & L. Seco
Anatoliy Swishchuk
Math & Comp Finance Lab,
Dept of Math & Stat, U of C
“Lunch at the Lab” Talk
February 3, 2006
Model
Interpretation of the Model and Specification
Difference Between this Model and Pilipovich Model