This digital collection includes faculty publications from the Department of Finance and Real Estate and publications from the Everitt Real Estate Center.
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Browsing Department of Finance and Real Estate by Author "Applied Mathematical Finance, publisher"
(Colorado State University. Libraries, 2011-08-22) Elliott, Robert J., author; Lau, John W., author; Miao, Hong, author; Kuen Siu, Tak, author; Applied Mathematical Finance, publisher
We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden Markov chain using the Vitberi algorithm given the model parameters. The second stage uses the maximum likelihood method to estimate the model parameters given the estimated hidden Markov chain. Applications to financial risk management are discussed through simulated data.
